MAF1731 - Microestructura y Sistemas de Trading

Licenciatura en Ingeniería Financiera

Ricardo Enrique Cárdenas Ramos

Marco Antonio Ochoa Cardenas

Noviembre 2022 | Repositorio: Link

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Laboratorio 4. Microestructura del Mercado

Criptomonedas

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Abstract

Microestructura del mercado de criptomonedas: Ethereum, Solana y Bitcoin. Descarga de información del libro de órdenes para cada criptomoneda a través de distintos brókers internacionales. Modelado y visualización de la microestructura del mercado por medio del libro de órdenes y sus características: niveles, bid-ask y volúmenes.

1. Introducción

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En este Laboratorio 4: Microestructura del Mercado se emplearán los datos del libro de órdenes de criptomonedas de diversos exchanges internacionales con el fin de modelar y visualizar la microestructura del mercado, que puede ser descrita someramente como una rama de las finanzas que estudia los intercambios en los mercados y cómo estos procesos afectan a los precios de los activos y a los inversores. El laboratorio se encuentra dividido en las siguientes secciones:

1. CCXT: Libro de Órdenes (Descarga de Datos). En este apartado se hace uso de la librería CCXT para extraer el libro de órdenes y el OHLC de criptomonedas de diversos brókers.
2. Microestructura del Mercado: Visuales. En este apartado se construyen series temporales con las características del libro de órdenes (niveles, volúmenes, VWAP, etc.) y se grafican con Plotly.
3. Microestructura del Mercado: Modelado. En este apartado se estima el Effective Spread del modelo de Roll.

Algunos supuestos que se toman en cuenta para la elaboración del presente laboratorio:

• Descarga de datos en tiempo real, minuto a minuto.
• Criptomonedas seleccionadas: Ethereum, Solana y Bitcoin.
• Brókers seleccionados: Cex, Kraken y Ftx.

2. Instalar/Cargar Paquetes y Dependencias

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2.1 Paquetes de Python

Para correr este archivo, es necessario tener instaladas y/o tener el archivo the_requirements.txt_ con las siguientes librerías:

• pandas
• numpy
• ccxt
• datetime
• plotly
• time

2.3 Instalar Paquetes

import main
ticker_1, ticker_2, ticker_3 = "ETH/USD", "SOL/USD", "BTC/USD"

3. CCXT: Libro de Órdenes (Descarga de Datos)

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• CCXT: Libro de Órdenes (Descarga de Datos). En este apartado se hace uso de la librería CCXT para extraer el libro de órdenes y el OHLC de criptomonedas de diversos brókers.

Para completar esta sección se obtiene la siguiente verificación de avance en forma de un diccionario:

Exchange_1. Bróker o proveedor de la información.

Timestamp_1. Fecha.

Ask. Precio de oferta más bajo.

Bid. Precio de demanda más alto.

Ask_Volume. Volumen en la cadena de la oferta.

Bid_Volume. Volumen en la cadena de la demanda.

Spread. Ask - Bid.

Close_Price. Cotización de cierre.

Timestamp_2. Fecha.

...

Timestamp_n. Fecha.

Exchange_2. Bróker o proveedor de la información.

Exchange_3. Bróker o proveedor de la información.

3.1 Ethereum

datos_ethereum, avance_ethereum = main.descarga_de_datos(ticker_1)
avance_ethereum

{'kraken': {Timestamp('2022-11-10 09:28:35.644735'): {'Ask': 1319.96,
   'Bid': 1319.95,
   'Ask_Volume': 22.899,
   'Bid_Volume': 0.06,
   'Spread': 0.009999999999990905,
   'Close_Price': 1319.87},
  Timestamp('2022-11-10 09:29:46.394854'): {'Ask': 1321.16,
   'Bid': 1320.47,
   'Ask_Volume': 1.434,
   'Bid_Volume': 0.595,
   'Spread': 0.6900000000000546,
   'Close_Price': 1321.22},
  Timestamp('2022-11-10 09:30:50.346266'): {'Ask': 1322.0,
   'Bid': 1321.95,
   'Ask_Volume': 1.812,
   'Bid_Volume': 5.738,
   'Spread': 0.049999999999954525,
   'Close_Price': 1322.0},
  Timestamp('2022-11-10 09:31:54.430854'): {'Ask': 1315.24,
   'Bid': 1315.0,
   'Ask_Volume': 1.895,
   'Bid_Volume': 2.773,
   'Spread': 0.2400000000000091,
   'Close_Price': 1314.56},
  Timestamp('2022-11-10 09:32:58.546607'): {'Ask': 1309.54,
   'Bid': 1309.2,
   'Ask_Volume': 2.783,
   'Bid_Volume': 0.006,
   'Spread': 0.33999999999991815,
   'Close_Price': 1308.15},
  Timestamp('2022-11-10 09:34:02.628608'): {'Ask': 1314.45,
   'Bid': 1314.14,
   'Ask_Volume': 0.015,
   'Bid_Volume': 0.016,
   'Spread': 0.30999999999994543,
   'Close_Price': 1314.31},
  Timestamp('2022-11-10 09:35:07.529575'): {'Ask': 1313.22,
   'Bid': 1313.15,
   'Ask_Volume': 0.153,
   'Bid_Volume': 0.922,
   'Spread': 0.06999999999993634,
   'Close_Price': 1313.44},
  Timestamp('2022-11-10 09:36:11.639433'): {'Ask': 1309.8,
   'Bid': 1309.79,
   'Ask_Volume': 37.126,
   'Bid_Volume': 46.367,
   'Spread': 0.009999999999990905,
   'Close_Price': 1309.79},
  Timestamp('2022-11-10 09:37:15.949923'): {'Ask': 1306.52,
   'Bid': 1306.51,
   'Ask_Volume': 0.031,
   'Bid_Volume': 1.098,
   'Spread': 0.009999999999990905,
   'Close_Price': 1306.51},
  Timestamp('2022-11-10 09:38:20.035781'): {'Ask': 1306.16,
   'Bid': 1305.98,
   'Ask_Volume': 3.109,
   'Bid_Volume': 5.53,
   'Spread': 0.18000000000006366,
   'Close_Price': 1306.24},
  Timestamp('2022-11-10 09:39:24.174198'): {'Ask': 1309.6,
   'Bid': 1309.59,
   'Ask_Volume': 4.629,
   'Bid_Volume': 1.812,
   'Spread': 0.009999999999990905,
   'Close_Price': 1309.65},
  Timestamp('2022-11-10 09:40:29.660220'): {'Ask': 1309.05,
   'Bid': 1308.83,
   'Ask_Volume': 0.016,
   'Bid_Volume': 2.852,
   'Spread': 0.22000000000002728,
   'Close_Price': 1308.79},
  Timestamp('2022-11-10 09:41:34.011014'): {'Ask': 1312.55,
   'Bid': 1312.54,
   'Ask_Volume': 9.371,
   'Bid_Volume': 0.016,
   'Spread': 0.009999999999990905,
   'Close_Price': 1312.6},
  Timestamp('2022-11-10 09:42:38.528209'): {'Ask': 1315.18,
   'Bid': 1315.17,
   'Ask_Volume': 0.01,
   'Bid_Volume': 39.153,
   'Spread': 0.009999999999990905,
   'Close_Price': 1315.17},
  Timestamp('2022-11-10 09:43:42.591013'): {'Ask': 1313.25,
   'Bid': 1313.24,
   'Ask_Volume': 0.016,
   'Bid_Volume': 15.071,
   'Spread': 0.009999999999990905,
   'Close_Price': 1313.24},
  Timestamp('2022-11-10 09:44:46.504048'): {'Ask': 1312.21,
   'Bid': 1312.0,
   'Ask_Volume': 11.225,
   'Bid_Volume': 4.254,
   'Spread': 0.21000000000003638,
   'Close_Price': 1312.0},
  Timestamp('2022-11-10 09:45:50.542204'): {'Ask': 1313.21,
   'Bid': 1313.2,
   'Ask_Volume': 16.128,
   'Bid_Volume': 0.006,
   'Spread': 0.009999999999990905,
   'Close_Price': 1313.0},
  Timestamp('2022-11-10 09:46:54.704811'): {'Ask': 1310.88,
   'Bid': 1310.59,
   'Ask_Volume': 0.153,
   'Bid_Volume': 2.88,
   'Spread': 0.290000000000191,
   'Close_Price': 1310.59},
  Timestamp('2022-11-10 09:47:58.708392'): {'Ask': 1309.08,
   'Bid': 1309.07,
   'Ask_Volume': 29.157,
   'Bid_Volume': 0.016,
   'Spread': 0.009999999999990905,
   'Close_Price': 1308.21},
  Timestamp('2022-11-10 09:49:02.740324'): {'Ask': 1308.64,
   'Bid': 1308.34,
   'Ask_Volume': 5.0,
   'Bid_Volume': 4.914,
   'Spread': 0.3000000000001819,
   'Close_Price': 1308.34},
  Timestamp('2022-11-10 09:50:06.658321'): {'Ask': 1306.54,
   'Bid': 1306.53,
   'Ask_Volume': 23.749,
   'Bid_Volume': 3.987,
   'Spread': 0.009999999999990905,
   'Close_Price': 1306.19},
  Timestamp('2022-11-10 09:51:10.695317'): {'Ask': 1311.99,
   'Bid': 1311.98,
   'Ask_Volume': 38.665,
   'Bid_Volume': 3.553,
   'Spread': 0.009999999999990905,
   'Close_Price': 1312.26},
  Timestamp('2022-11-10 09:52:14.945929'): {'Ask': 1312.0,
   'Bid': 1311.99,
   'Ask_Volume': 0.016,
   'Bid_Volume': 15.169,
   'Spread': 0.009999999999990905,
   'Close_Price': 1311.98},
  Timestamp('2022-11-10 09:53:19.174931'): {'Ask': 1312.54,
   'Bid': 1312.52,
   'Ask_Volume': 2.618,
   'Bid_Volume': 0.096,
   'Spread': 0.01999999999998181,
   'Close_Price': 1312.79},
  Timestamp('2022-11-10 09:54:23.243970'): {'Ask': 1312.33,
   'Bid': 1312.32,
   'Ask_Volume': 8.329,
   'Bid_Volume': 0.011,
   'Spread': 0.009999999999990905,
   'Close_Price': 1312.2},
  Timestamp('2022-11-10 09:55:27.562914'): {'Ask': 1306.92,
   'Bid': 1306.55,
   'Ask_Volume': 0.016,
   'Bid_Volume': 0.057,
   'Spread': 0.37000000000011823,
   'Close_Price': 1306.54},
  Timestamp('2022-11-10 09:56:32.775296'): {'Ask': 1309.15,
   'Bid': 1309.14,
   'Ask_Volume': 47.271,
   'Bid_Volume': 0.006,
   'Spread': 0.009999999999990905,
   'Close_Price': 1309.14},
  Timestamp('2022-11-10 09:57:39.983660'): {'Ask': 1309.82,
   'Bid': 1309.53,
   'Ask_Volume': 2.843,
   'Bid_Volume': 4.511,
   'Spread': 0.2899999999999636,
   'Close_Price': 1309.53},
  Timestamp('2022-11-10 09:58:45.658707'): {'Ask': 1319.34,
   'Bid': 1319.33,
   'Ask_Volume': 0.375,
   'Bid_Volume': 33.849,
   'Spread': 0.009999999999990905,
   'Close_Price': 1319.33},
  Timestamp('2022-11-10 09:59:52.704866'): {'Ask': 1319.75,
   'Bid': 1319.74,
   'Ask_Volume': 38.585,
   'Bid_Volume': 0.006,
   'Spread': 0.009999999999990905,
   'Close_Price': 1320.11},
  Timestamp('2022-11-10 10:00:56.884026'): {'Ask': 1316.36,
   'Bid': 1316.35,
   'Ask_Volume': 5.062,
   'Bid_Volume': 50.016,
   'Spread': 0.009999999999990905,
   'Close_Price': 1316.35},
  Timestamp('2022-11-10 10:02:01.477157'): {'Ask': 1314.6,
   'Bid': 1314.54,
   'Ask_Volume': 0.136,
   'Bid_Volume': 0.016,
   'Spread': 0.05999999999994543,
   'Close_Price': 1314.55},
  Timestamp('2022-11-10 10:03:05.487149'): {'Ask': 1309.43,
   'Bid': 1307.2,
   'Ask_Volume': 0.153,
   'Bid_Volume': 5.153,
   'Spread': 2.230000000000018,
   'Close_Price': 1307.12},
  Timestamp('2022-11-10 10:04:09.532437'): {'Ask': 1310.73,
   'Bid': 1310.52,
   'Ask_Volume': 0.016,
   'Bid_Volume': 1.535,
   'Spread': 0.21000000000003638,
   'Close_Price': 1310.51},
  Timestamp('2022-11-10 10:05:13.631048'): {'Ask': 1317.79,
   'Bid': 1317.78,
   'Ask_Volume': 0.016,
   'Bid_Volume': 34.727,
   'Spread': 0.009999999999990905,
   'Close_Price': 1318.01},
  Timestamp('2022-11-10 10:06:20.671989'): {'Ask': 1320.79,
   'Bid': 1320.78,
   'Ask_Volume': 0.016,
   'Bid_Volume': 27.958,
   'Spread': 0.009999999999990905,
   'Close_Price': 1321.19},
  Timestamp('2022-11-10 10:07:24.726174'): {'Ask': 1324.25,
   'Bid': 1324.24,
   'Ask_Volume': 0.001,
   'Bid_Volume': 27.718,
   'Spread': 0.009999999999990905,
   'Close_Price': 1324.25},
  Timestamp('2022-11-10 10:08:29.205327'): {'Ask': 1323.59,
   'Bid': 1323.58,
   'Ask_Volume': 0.016,
   'Bid_Volume': 27.734,
   'Spread': 0.009999999999990905,
   'Close_Price': 1323.79},
  Timestamp('2022-11-10 10:09:33.281240'): {'Ask': 1326.79,
   'Bid': 1326.5,
   'Ask_Volume': 0.016,
   'Bid_Volume': 6.96,
   'Spread': 0.2899999999999636,
   'Close_Price': 1326.78},
  Timestamp('2022-11-10 10:10:37.454569'): {'Ask': 1328.25,
   'Bid': 1328.24,
   'Ask_Volume': 0.031,
   'Bid_Volume': 37.262,
   'Spread': 0.009999999999990905,
   'Close_Price': 1328.24},
  Timestamp('2022-11-10 10:11:43.062217'): {'Ask': 1325.88,
   'Bid': 1325.87,
   'Ask_Volume': 27.325,
   'Bid_Volume': 0.016,
   'Spread': 0.010000000000218279,
   'Close_Price': 1325.88},
  Timestamp('2022-11-10 10:12:50.688218'): {'Ask': 1323.44,
   'Bid': 1323.12,
   'Ask_Volume': 0.016,
   'Bid_Volume': 1.636,
   'Spread': 0.3200000000001637,
   'Close_Price': 1323.59},
  Timestamp('2022-11-10 10:13:55.698116'): {'Ask': 1324.56,
   'Bid': 1324.55,
   'Ask_Volume': 0.076,
   'Bid_Volume': 44.095,
   'Spread': 0.009999999999990905,
   'Close_Price': 1324.55},
  Timestamp('2022-11-10 10:14:59.897255'): {'Ask': 1328.25,
   'Bid': 1327.88,
   'Ask_Volume': 0.031,
   'Bid_Volume': 0.153,
   'Spread': 0.36999999999989086,
   'Close_Price': 1327.93},
  Timestamp('2022-11-10 10:16:04.393786'): {'Ask': 1330.42,
   'Bid': 1330.41,
   'Ask_Volume': 36.215,
   'Bid_Volume': 1.908,
   'Spread': 0.009999999999990905,
   'Close_Price': 1330.41},
  Timestamp('2022-11-10 10:17:09.999747'): {'Ask': 1340.19,
   'Bid': 1340.18,
   'Ask_Volume': 62.263,
   'Bid_Volume': 1.81,
   'Spread': 0.009999999999990905,
   'Close_Price': 1340.06},
  Timestamp('2022-11-10 10:18:14.037100'): {'Ask': 1341.72,
   'Bid': 1341.14,
   'Ask_Volume': 5.005,
   'Bid_Volume': 0.015,
   'Spread': 0.5799999999999272,
   'Close_Price': 1342.72},
  Timestamp('2022-11-10 10:19:18.219276'): {'Ask': 1334.8,
   'Bid': 1333.04,
   'Ask_Volume': 1.612,
   'Bid_Volume': 8.634,
   'Spread': 1.759999999999991,
   'Close_Price': 1336.24},
  Timestamp('2022-11-10 10:20:22.370608'): {'Ask': 1330.87,
   'Bid': 1330.24,
   'Ask_Volume': 4.336,
   'Bid_Volume': 1.513,
   'Spread': 0.6299999999998818,
   'Close_Price': 1330.23},
  Timestamp('2022-11-10 10:21:26.421877'): {'Ask': 1334.65,
   'Bid': 1334.31,
   'Ask_Volume': 0.015,
   'Bid_Volume': 1.0,
   'Spread': 0.3400000000001455,
   'Close_Price': 1335.05},
  Timestamp('2022-11-10 10:22:34.328141'): {'Ask': 1335.98,
   'Bid': 1335.85,
   'Ask_Volume': 19.262,
   'Bid_Volume': 4.824,
   'Spread': 0.13000000000010914,
   'Close_Price': 1335.97},
  Timestamp('2022-11-10 10:23:39.949650'): {'Ask': 1333.23,
   'Bid': 1333.07,
   'Ask_Volume': 1.0,
   'Bid_Volume': 0.046,
   'Spread': 0.16000000000008185,
   'Close_Price': 1333.08},
  Timestamp('2022-11-10 10:24:45.063962'): {'Ask': 1336.85,
   'Bid': 1335.83,
   'Ask_Volume': 6.0,
   'Bid_Volume': 7.466,
   'Spread': 1.0199999999999818,
   'Close_Price': 1336.44},
  Timestamp('2022-11-10 10:25:48.134186'): {'Ask': 1334.07,
   'Bid': 1334.06,
   'Ask_Volume': 39.788,
   'Bid_Volume': 0.043,
   'Spread': 0.009999999999990905,
   'Close_Price': 1334.24},
  Timestamp('2022-11-10 10:26:52.766609'): {'Ask': 1335.72,
   'Bid': 1335.4,
   'Ask_Volume': 0.015,
   'Bid_Volume': 0.015,
   'Spread': 0.31999999999993634,
   'Close_Price': 1335.65},
  Timestamp('2022-11-10 10:28:00.746138'): {'Ask': 1342.43,
   'Bid': 1340.77,
   'Ask_Volume': 18.76,
   'Bid_Volume': 1.96,
   'Spread': 1.6600000000000819,
   'Close_Price': 1342.43},
  Timestamp('2022-11-10 10:29:07.301749'): {'Ask': 1346.4,
   'Bid': 1345.91,
   'Ask_Volume': 0.035,
   'Bid_Volume': 6.151,
   'Spread': 0.4900000000000091,
   'Close_Price': 1346.6},
  Timestamp('2022-11-10 10:30:12.172124'): {'Ask': 1344.45,
   'Bid': 1344.27,
   'Ask_Volume': 0.015,
   'Bid_Volume': 5.0,
   'Spread': 0.18000000000006366,
   'Close_Price': 1344.79},
  Timestamp('2022-11-10 10:31:16.734750'): {'Ask': 1337.47,
   'Bid': 1337.27,
   'Ask_Volume': 12.337,
   'Bid_Volume': 0.094,
   'Spread': 0.20000000000004547,
   'Close_Price': 1337.54},
  Timestamp('2022-11-10 10:32:21.547108'): {'Ask': 1338.03,
   'Bid': 1336.97,
   'Ask_Volume': 12.332,
   'Bid_Volume': 0.15,
   'Spread': 1.0599999999999454,
   'Close_Price': 1338.66}},
 'ftx': {Timestamp('2022-11-10 09:28:35.644735'): {'Ask': 1421.5,
   'Bid': 1420.1,
   'Ask_Volume': 0.128,
   'Bid_Volume': 0.001,
   'Spread': 1.400000000000091,
   'Close_Price': 1420.1},
  Timestamp('2022-11-10 09:29:46.394854'): {'Ask': 1421.1,
   'Bid': 1417.7,
   'Ask_Volume': 0.001,
   'Bid_Volume': 0.001,
   'Spread': 3.3999999999998636,
   'Close_Price': 1418.0},
  Timestamp('2022-11-10 09:30:50.346266'): {'Ask': 1425.9,
   'Bid': 1422.5,
   'Ask_Volume': 0.1,
   'Bid_Volume': 0.008,
   'Spread': 3.400000000000091,
   'Close_Price': 1422.8},
  Timestamp('2022-11-10 09:31:54.430854'): {'Ask': 1417.3,
   'Bid': 1416.1,
   'Ask_Volume': 0.07,
   'Bid_Volume': 1.12,
   'Spread': 1.2000000000000455,
   'Close_Price': 1416.1},
  Timestamp('2022-11-10 09:32:58.546607'): {'Ask': 1411.7,
   'Bid': 1408.6,
   'Ask_Volume': 0.008,
   'Bid_Volume': 0.095,
   'Spread': 3.1000000000001364,
   'Close_Price': 1409.2},
  Timestamp('2022-11-10 09:34:02.628608'): {'Ask': 1409.9,
   'Bid': 1408.1,
   'Ask_Volume': 0.071,
   'Bid_Volume': 5.154,
   'Spread': 1.800000000000182,
   'Close_Price': 1409.9},
  Timestamp('2022-11-10 09:35:07.529575'): {'Ask': 1409.1,
   'Bid': 1408.0,
   'Ask_Volume': 0.071,
   'Bid_Volume': 165.189,
   'Spread': 1.099999999999909,
   'Close_Price': 1408.3},
  Timestamp('2022-11-10 09:36:11.639433'): {'Ask': 1400.0,
   'Bid': 1399.7,
   'Ask_Volume': 0.562,
   'Bid_Volume': 0.006,
   'Spread': 0.2999999999999545,
   'Close_Price': 1399.9},
  Timestamp('2022-11-10 09:37:15.949923'): {'Ask': 1392.5,
   'Bid': 1392.4,
   'Ask_Volume': 0.01,
   'Bid_Volume': 0.003,
   'Spread': 0.09999999999990905,
   'Close_Price': 1392.5},
  Timestamp('2022-11-10 09:38:20.035781'): {'Ask': 1384.0,
   'Bid': 1382.6,
   'Ask_Volume': 0.023,
   'Bid_Volume': 0.01,
   'Spread': 1.400000000000091,
   'Close_Price': 1382.6},
  Timestamp('2022-11-10 09:39:24.174198'): {'Ask': 1382.4,
   'Bid': 1378.1,
   'Ask_Volume': 0.511,
   'Bid_Volume': 12.814,
   'Spread': 4.300000000000182,
   'Close_Price': 1382.3},
  Timestamp('2022-11-10 09:40:29.660220'): {'Ask': 1375.7,
   'Bid': 1374.3,
   'Ask_Volume': 1.747,
   'Bid_Volume': 0.072,
   'Spread': 1.400000000000091,
   'Close_Price': 1375.6},
  Timestamp('2022-11-10 09:41:34.011014'): {'Ask': 1377.4,
   'Bid': 1374.9,
   'Ask_Volume': 0.072,
   'Bid_Volume': 0.316,
   'Spread': 2.5,
   'Close_Price': 1377.4},
  Timestamp('2022-11-10 09:42:38.528209'): {'Ask': 1378.8,
   'Bid': 1378.1,
   'Ask_Volume': 0.073,
   'Bid_Volume': 0.64,
   'Spread': 0.7000000000000455,
   'Close_Price': 1378.2},
  Timestamp('2022-11-10 09:43:42.591013'): {'Ask': 1375.6,
   'Bid': 1374.3,
   'Ask_Volume': 0.001,
   'Bid_Volume': 0.31,
   'Spread': 1.2999999999999545,
   'Close_Price': 1375.6},
  Timestamp('2022-11-10 09:44:46.504048'): {'Ask': 1374.4,
   'Bid': 1374.2,
   'Ask_Volume': 0.001,
   'Bid_Volume': 0.073,
   'Spread': 0.20000000000004547,
   'Close_Price': 1375.0},
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   'Close_Price': 1177.79},
  Timestamp('2022-11-10 10:14:59.897255'): {'Ask': 1329.4,
   'Bid': 1329.13,
   'Ask_Volume': 0.193945,
   'Bid_Volume': 0.314287,
   'Spread': 0.2699999999999818,
   'Close_Price': 1179.85},
  Timestamp('2022-11-10 10:16:04.393786'): {'Ask': 1331.71,
   'Bid': 1330.54,
   'Ask_Volume': 1.1049,
   'Bid_Volume': 0.193861,
   'Spread': 1.1700000000000728,
   'Close_Price': 1167.14},
  Timestamp('2022-11-10 10:17:09.999747'): {'Ask': 1341.38,
   'Bid': 1339.59,
   'Ask_Volume': 0.17,
   'Bid_Volume': 1.2,
   'Spread': 1.790000000000191,
   'Close_Price': 1167.85},
  Timestamp('2022-11-10 10:18:14.037100'): {'Ask': 1343.04,
   'Bid': 1342.92,
   'Ask_Volume': 1.274733,
   'Bid_Volume': 0.5,
   'Spread': 0.11999999999989086,
   'Close_Price': 1170.32},
  Timestamp('2022-11-10 10:19:18.219276'): {'Ask': 1336.36,
   'Bid': 1334.82,
   'Ask_Volume': 1.277916,
   'Bid_Volume': 0.5,
   'Spread': 1.5399999999999636,
   'Close_Price': 1169.38},
  Timestamp('2022-11-10 10:20:22.370608'): {'Ask': 1331.2,
   'Bid': 1330.65,
   'Ask_Volume': 1.105113,
   'Bid_Volume': 2.301033,
   'Spread': 0.5499999999999545,
   'Close_Price': 1166.2},
  Timestamp('2022-11-10 10:21:26.421877'): {'Ask': 1335.4,
   'Bid': 1335.12,
   'Ask_Volume': 0.193509,
   'Bid_Volume': 0.193528,
   'Spread': 0.2800000000002001,
   'Close_Price': 1166.14},
  Timestamp('2022-11-10 10:22:34.328141'): {'Ask': 1336.52,
   'Bid': 1334.88,
   'Ask_Volume': 0.5,
   'Bid_Volume': 2.085048,
   'Spread': 1.6399999999998727,
   'Close_Price': 1159.27},
  Timestamp('2022-11-10 10:23:39.949650'): {'Ask': 1332.75,
   'Bid': 1331.48,
   'Ask_Volume': 8.0,
   'Bid_Volume': 6.554769,
   'Spread': 1.2699999999999818,
   'Close_Price': 1160.19},
  Timestamp('2022-11-10 10:24:45.063962'): {'Ask': 1332.75,
   'Bid': 1331.48,
   'Ask_Volume': 8.0,
   'Bid_Volume': 6.554769,
   'Spread': 1.2699999999999818,
   'Close_Price': 1160.19},
  Timestamp('2022-11-10 10:25:48.134186'): {'Ask': 1333.61,
   'Bid': 1333.33,
   'Ask_Volume': 0.193639,
   'Bid_Volume': 0.193658,
   'Spread': 0.2799999999999727,
   'Close_Price': 1166.58},
  Timestamp('2022-11-10 10:26:52.766609'): {'Ask': 1335.4,
   'Bid': 1335.13,
   'Ask_Volume': 0.193509,
   'Bid_Volume': 0.051365,
   'Spread': 0.2699999999999818,
   'Close_Price': 1158.44},
  Timestamp('2022-11-10 10:28:00.746138'): {'Ask': 1341.92,
   'Bid': 1341.17,
   'Ask_Volume': 1.100688,
   'Bid_Volume': 6.484881,
   'Spread': 0.75,
   'Close_Price': 1164.63},
  Timestamp('2022-11-10 10:29:07.301749'): {'Ask': 1346.83,
   'Bid': 1346.16,
   'Ask_Volume': 1.098681,
   'Bid_Volume': 2.380883,
   'Spread': 0.6699999999998454,
   'Close_Price': 1160.51},
  Timestamp('2022-11-10 10:30:12.172124'): {'Ask': 1346.66,
   'Bid': 1345.47,
   'Ask_Volume': 1.098751,
   'Bid_Volume': 0.192782,
   'Spread': 1.1900000000000546,
   'Close_Price': 1161.9},
  Timestamp('2022-11-10 10:31:16.734750'): {'Ask': 1337.96,
   'Bid': 1337.94,
   'Ask_Volume': 2.83344,
   'Bid_Volume': 0.932319,
   'Spread': 0.01999999999998181,
   'Close_Price': 1167.95},
  Timestamp('2022-11-10 10:32:21.547108'): {'Ask': 1339.43,
   'Bid': 1339.15,
   'Ask_Volume': 0.193218,
   'Bid_Volume': 0.193237,
   'Spread': 0.2799999999999727,
   'Close_Price': 1168.59}}}

3.2 Solana

datos_solana, avance_solana = main.descarga_de_datos(ticker_2)
avance_solana

{'kraken': {Timestamp('2022-11-10 10:48:16.803532'): {'Ask': 19.01,
   'Bid': 19.0,
   'Ask_Volume': 377.863,
   'Bid_Volume': 33421.102,
   'Spread': 0.010000000000001563,
   'Close_Price': 19.0},
  Timestamp('2022-11-10 10:49:32.720856'): {'Ask': 19.02,
   'Bid': 19.01,
   'Ask_Volume': 405.84,
   'Bid_Volume': 58.0,
   'Spread': 0.00999999999999801,
   'Close_Price': 19.01},
  Timestamp('2022-11-10 10:50:38.295411'): {'Ask': 19.1,
   'Bid': 18.99,
   'Ask_Volume': 83.245,
   'Bid_Volume': 59.555,
   'Spread': 0.11000000000000298,
   'Close_Price': 19.19},
  Timestamp('2022-11-10 10:51:43.193787'): {'Ask': 19.04,
   'Bid': 18.95,
   'Ask_Volume': 33.706,
   'Bid_Volume': 187.673,
   'Spread': 0.08999999999999986,
   'Close_Price': 18.94},
  Timestamp('2022-11-10 10:52:47.350236'): {'Ask': 18.94,
   'Bid': 18.91,
   'Ask_Volume': 9.117,
   'Bid_Volume': 33.798,
   'Spread': 0.030000000000001137,
   'Close_Price': 18.92},
  Timestamp('2022-11-10 10:53:52.172307'): {'Ask': 19.0,
   'Bid': 18.92,
   'Ask_Volume': 55.779,
   'Bid_Volume': 64.999,
   'Spread': 0.0799999999999983,
   'Close_Price': 18.92},
  Timestamp('2022-11-10 10:54:56.144525'): {'Ask': 18.97,
   'Bid': 18.9,
   'Ask_Volume': 58.0,
   'Bid_Volume': 25978.657,
   'Spread': 0.07000000000000028,
   'Close_Price': 18.96},
  Timestamp('2022-11-10 10:56:00.312885'): {'Ask': 18.91,
   'Bid': 18.9,
   'Ask_Volume': 68.433,
   'Bid_Volume': 24781.625,
   'Spread': 0.010000000000001563,
   'Close_Price': 18.9},
  Timestamp('2022-11-10 10:57:04.313167'): {'Ask': 18.93,
   'Bid': 18.9,
   'Ask_Volume': 696.067,
   'Bid_Volume': 24137.921,
   'Spread': 0.030000000000001137,
   'Close_Price': 18.9},
  Timestamp('2022-11-10 10:58:11.625959'): {'Ask': 18.91,
   'Bid': 18.9,
   'Ask_Volume': 1.404,
   'Bid_Volume': 21333.435,
   'Spread': 0.010000000000001563,
   'Close_Price': 18.9},
  Timestamp('2022-11-10 10:59:16.604536'): {'Ask': 18.91,
   'Bid': 18.9,
   'Ask_Volume': 334.08,
   'Bid_Volume': 11683.521,
   'Spread': 0.010000000000001563,
   'Close_Price': 18.9},
  Timestamp('2022-11-10 11:00:20.586572'): {'Ask': 18.8,
   'Bid': 18.79,
   'Ask_Volume': 1.404,
   'Bid_Volume': 104.362,
   'Spread': 0.010000000000001563,
   'Close_Price': 18.79},
  Timestamp('2022-11-10 11:01:24.650615'): {'Ask': 18.39,
   'Bid': 18.26,
   'Ask_Volume': 189.61,
   'Bid_Volume': 71.991,
   'Spread': 0.129999999999999,
   'Close_Price': 18.26},
  Timestamp('2022-11-10 11:02:28.628026'): {'Ask': 17.84,
   'Bid': 17.78,
   'Ask_Volume': 141.72,
   'Bid_Volume': 77.516,
   'Spread': 0.05999999999999872,
   'Close_Price': 17.81},
  Timestamp('2022-11-10 11:03:32.878283'): {'Ask': 17.79,
   'Bid': 17.78,
   'Ask_Volume': 108.298,
   'Bid_Volume': 233.454,
   'Spread': 0.00999999999999801,
   'Close_Price': 17.79},
  Timestamp('2022-11-10 11:04:37.084207'): {'Ask': 17.83,
   'Bid': 17.77,
   'Ask_Volume': 303.305,
   'Bid_Volume': 323.304,
   'Spread': 0.05999999999999872,
   'Close_Price': 17.83},
  Timestamp('2022-11-10 11:05:41.114985'): {'Ask': 17.68,
   'Bid': 17.67,
   'Ask_Volume': 60.0,
   'Bid_Volume': 0.001,
   'Spread': 0.00999999999999801,
   'Close_Price': 17.59},
  Timestamp('2022-11-10 11:06:47.463621'): {'Ask': 17.55,
   'Bid': 17.5,
   'Ask_Volume': 60.0,
   'Bid_Volume': 84.441,
   'Spread': 0.05000000000000071,
   'Close_Price': 17.5},
  Timestamp('2022-11-10 11:07:51.562846'): {'Ask': 17.59,
   'Bid': 17.54,
   'Ask_Volume': 308.823,
   'Bid_Volume': 42.005,
   'Spread': 0.05000000000000071,
   'Close_Price': 17.52},
  Timestamp('2022-11-10 11:08:56.745463'): {'Ask': 17.6,
   'Bid': 17.57,
   'Ask_Volume': 69.192,
   'Bid_Volume': 21.794,
   'Spread': 0.030000000000001137,
   'Close_Price': 17.6},
  Timestamp('2022-11-10 11:10:01.841086'): {'Ask': 17.43,
   'Bid': 17.42,
   'Ask_Volume': 362.06,
   'Bid_Volume': 0.001,
   'Spread': 0.00999999999999801,
   'Close_Price': 17.42},
  Timestamp('2022-11-10 11:11:07.080485'): {'Ask': 17.47,
   'Bid': 17.45,
   'Ask_Volume': 24.541,
   'Bid_Volume': 200.156,
   'Spread': 0.019999999999999574,
   'Close_Price': 17.47},
  Timestamp('2022-11-10 11:12:11.516249'): {'Ask': 17.61,
   'Bid': 17.57,
   'Ask_Volume': 7.915,
   'Bid_Volume': 614.24,
   'Spread': 0.03999999999999915,
   'Close_Price': 17.61},
  Timestamp('2022-11-10 11:13:15.804330'): {'Ask': 17.58,
   'Bid': 17.55,
   'Ask_Volume': 161.681,
   'Bid_Volume': 2.0,
   'Spread': 0.029999999999997584,
   'Close_Price': 17.57},
  Timestamp('2022-11-10 11:14:20.735077'): {'Ask': 17.59,
   'Bid': 17.56,
   'Ask_Volume': 414.472,
   'Bid_Volume': 77.412,
   'Spread': 0.030000000000001137,
   'Close_Price': 17.56},
  Timestamp('2022-11-10 11:15:24.885367'): {'Ask': 17.56,
   'Bid': 17.55,
   'Ask_Volume': 603.548,
   'Bid_Volume': 695.021,
   'Spread': 0.00999999999999801,
   'Close_Price': 17.54},
  Timestamp('2022-11-10 11:16:29.098419'): {'Ask': 17.7,
   'Bid': 17.66,
   'Ask_Volume': 125.31,
   'Bid_Volume': 98.842,
   'Spread': 0.03999999999999915,
   'Close_Price': 17.52},
  Timestamp('2022-11-10 11:17:33.580246'): {'Ask': 17.51,
   'Bid': 17.5,
   'Ask_Volume': 78.691,
   'Bid_Volume': 314.964,
   'Spread': 0.010000000000001563,
   'Close_Price': 17.52},
  Timestamp('2022-11-10 11:18:38.000241'): {'Ask': 17.65,
   'Bid': 17.61,
   'Ask_Volume': 66.285,
   'Bid_Volume': 2.0,
   'Spread': 0.03999999999999915,
   'Close_Price': 17.68},
  Timestamp('2022-11-10 11:19:43.518327'): {'Ask': 17.58,
   'Bid': 17.56,
   'Ask_Volume': 522.0,
   'Bid_Volume': 49.233,
   'Spread': 0.019999999999999574,
   'Close_Price': 17.55},
  Timestamp('2022-11-10 11:20:49.218519'): {'Ask': 17.55,
   'Bid': 17.5,
   'Ask_Volume': 214.237,
   'Bid_Volume': 10.727,
   'Spread': 0.05000000000000071,
   'Close_Price': 17.52},
  Timestamp('2022-11-10 11:21:53.484904'): {'Ask': 17.73,
   'Bid': 17.7,
   'Ask_Volume': 262.5,
   'Bid_Volume': 50.178,
   'Spread': 0.030000000000001137,
   'Close_Price': 17.75},
  Timestamp('2022-11-10 11:22:57.674665'): {'Ask': 17.76,
   'Bid': 17.72,
   'Ask_Volume': 1011.915,
   'Bid_Volume': 8.467,
   'Spread': 0.0400000000000027,
   'Close_Price': 17.72},
  Timestamp('2022-11-10 11:24:01.748705'): {'Ask': 17.71,
   'Bid': 17.66,
   'Ask_Volume': 271.068,
   'Bid_Volume': 74.504,
   'Spread': 0.05000000000000071,
   'Close_Price': 17.71},
  Timestamp('2022-11-10 11:25:06.307597'): {'Ask': 17.74,
   'Bid': 17.67,
   'Ask_Volume': 60.0,
   'Bid_Volume': 64.633,
   'Spread': 0.06999999999999673,
   'Close_Price': 17.71},
  Timestamp('2022-11-10 11:26:11.483459'): {'Ask': 17.7,
   'Bid': 17.69,
   'Ask_Volume': 270.602,
   'Bid_Volume': 132.916,
   'Spread': 0.00999999999999801,
   'Close_Price': 17.69},
  Timestamp('2022-11-10 11:27:19.801638'): {'Ask': 17.63,
   'Bid': 17.62,
   'Ask_Volume': 262.5,
   'Bid_Volume': 1376.445,
   'Spread': 0.00999999999999801,
   'Close_Price': 17.65},
  Timestamp('2022-11-10 11:28:24.340255'): {'Ask': 17.46,
   'Bid': 17.41,
   'Ask_Volume': 43.177,
   'Bid_Volume': 53.715,
   'Spread': 0.05000000000000071,
   'Close_Price': 17.41},
  Timestamp('2022-11-10 11:29:28.770872'): {'Ask': 17.56,
   'Bid': 17.48,
   'Ask_Volume': 8.231,
   'Bid_Volume': 147.885,
   'Spread': 0.0799999999999983,
   'Close_Price': 17.45},
  Timestamp('2022-11-10 11:30:34.580912'): {'Ask': 17.51,
   'Bid': 17.48,
   'Ask_Volume': 2.0,
   'Bid_Volume': 42.377,
   'Spread': 0.030000000000001137,
   'Close_Price': 17.51},
  Timestamp('2022-11-10 11:31:39.706037'): {'Ask': 17.39,
   'Bid': 17.38,
   'Ask_Volume': 97.375,
   'Bid_Volume': 68.703,
   'Spread': 0.010000000000001563,
   'Close_Price': 17.38},
  Timestamp('2022-11-10 11:32:45.398478'): {'Ask': 17.26,
   'Bid': 17.24,
   'Ask_Volume': 24.925,
   'Bid_Volume': 8.45,
   'Spread': 0.020000000000003126,
   'Close_Price': 17.26},
  Timestamp('2022-11-10 11:33:51.633704'): {'Ask': 17.05,
   'Bid': 17.03,
   'Ask_Volume': 56.793,
   'Bid_Volume': 64.333,
   'Spread': 0.019999999999999574,
   'Close_Price': 17.02},
  Timestamp('2022-11-10 11:35:01.426216'): {'Ask': 16.81,
   'Bid': 16.77,
   'Ask_Volume': 320.257,
   'Bid_Volume': 37.504,
   'Spread': 0.03999999999999915,
   'Close_Price': 16.79},
  Timestamp('2022-11-10 11:36:10.719244'): {'Ask': 16.84,
   'Bid': 16.81,
   'Ask_Volume': 66.069,
   'Bid_Volume': 60.0,
   'Spread': 0.030000000000001137,
   'Close_Price': 16.84},
  Timestamp('2022-11-10 11:37:18.732415'): {'Ask': 16.76,
   'Bid': 16.75,
   'Ask_Volume': 209.473,
   'Bid_Volume': 282.526,
   'Spread': 0.010000000000001563,
   'Close_Price': 16.75},
  Timestamp('2022-11-10 11:38:24.126225'): {'Ask': 16.72,
   'Bid': 16.62,
   'Ask_Volume': 83.929,
   'Bid_Volume': 68.262,
   'Spread': 0.09999999999999787,
   'Close_Price': 16.64},
  Timestamp('2022-11-10 11:39:29.063151'): {'Ask': 16.46,
   'Bid': 16.4,
   'Ask_Volume': 39.482,
   'Bid_Volume': 34.618,
   'Spread': 0.060000000000002274,
   'Close_Price': 16.4},
  Timestamp('2022-11-10 11:40:33.824078'): {'Ask': 16.6,
   'Bid': 16.56,
   'Ask_Volume': 47.673,
   'Bid_Volume': 221.381,
   'Spread': 0.0400000000000027,
   'Close_Price': 16.62},
  Timestamp('2022-11-10 11:41:38.437848'): {'Ask': 16.65,
   'Bid': 16.61,
   'Ask_Volume': 34.155,
   'Bid_Volume': 661.249,
   'Spread': 0.03999999999999915,
   'Close_Price': 16.63},
  Timestamp('2022-11-10 11:42:44.468366'): {'Ask': 16.63,
   'Bid': 16.59,
   'Ask_Volume': 47.732,
   'Bid_Volume': 79.219,
   'Spread': 0.03999999999999915,
   'Close_Price': 16.61},
  Timestamp('2022-11-10 11:43:52.514910'): {'Ask': 16.61,
   'Bid': 16.6,
   'Ask_Volume': 339.385,
   'Bid_Volume': 214.68,
   'Spread': 0.00999999999999801,
   'Close_Price': 16.6},
  Timestamp('2022-11-10 11:44:58.577832'): {'Ask': 16.47,
   'Bid': 16.4,
   'Ask_Volume': 109.711,
   'Bid_Volume': 100.682,
   'Spread': 0.07000000000000028,
   'Close_Price': 16.38},
  Timestamp('2022-11-10 11:46:05.057611'): {'Ask': 16.46,
   'Bid': 16.45,
   'Ask_Volume': 6.172,
   'Bid_Volume': 391.988,
   'Spread': 0.010000000000001563,
   'Close_Price': 16.45},
  Timestamp('2022-11-10 11:47:11.353268'): {'Ask': 16.54,
   'Bid': 16.5,
   'Ask_Volume': 9.136,
   'Bid_Volume': 640.79,
   'Spread': 0.03999999999999915,
   'Close_Price': 16.54},
  Timestamp('2022-11-10 11:48:19.189128'): {'Ask': 16.62,
   'Bid': 16.54,
   'Ask_Volume': 43.0,
   'Bid_Volume': 20.0,
   'Spread': 0.08000000000000185,
   'Close_Price': 16.53},
  Timestamp('2022-11-10 11:49:26.921931'): {'Ask': 16.53,
   'Bid': 16.5,
   'Ask_Volume': 147.688,
   'Bid_Volume': 704.626,
   'Spread': 0.030000000000001137,
   'Close_Price': 16.5},
  Timestamp('2022-11-10 11:50:31.876262'): {'Ask': 16.67,
   'Bid': 16.66,
   'Ask_Volume': 0.001,
   'Bid_Volume': 814.631,
   'Spread': 0.010000000000001563,
   'Close_Price': 16.67},
  Timestamp('2022-11-10 11:51:36.672924'): {'Ask': 16.71,
   'Bid': 16.68,
   'Ask_Volume': 67.882,
   'Bid_Volume': 11.49,
   'Spread': 0.030000000000001137,
   'Close_Price': 16.73},
  Timestamp('2022-11-10 11:52:42.531208'): {'Ask': 16.66,
   'Bid': 16.62,
   'Ask_Volume': 75.526,
   'Bid_Volume': 48.477,
   'Spread': 0.03999999999999915,
   'Close_Price': 16.64}},
 'ftx': {Timestamp('2022-11-10 10:48:16.803532'): {'Ask': 19.9875,
   'Bid': 19.75,
   'Ask_Volume': 0.16,
   'Bid_Volume': 1.01,
   'Spread': 0.2375000000000007,
   'Close_Price': 19.75},
  Timestamp('2022-11-10 10:49:32.720856'): {'Ask': 19.925,
   'Bid': 19.7125,
   'Ask_Volume': 5.08,
   'Bid_Volume': 0.06,
   'Spread': 0.21250000000000213,
   'Close_Price': 19.715},
  Timestamp('2022-11-10 10:50:38.295411'): {'Ask': 19.5875,
   'Bid': 19.56,
   'Ask_Volume': 5.07,
   'Bid_Volume': 20.04,
   'Spread': 0.027499999999999858,
   'Close_Price': 19.59},
  Timestamp('2022-11-10 10:51:43.193787'): {'Ask': 19.8875,
   'Bid': 19.8,
   'Ask_Volume': 5.03,
   'Bid_Volume': 478.39,
   'Spread': 0.08749999999999858,
   'Close_Price': 19.8},
  Timestamp('2022-11-10 10:52:47.350236'): {'Ask': 19.5125,
   'Bid': 19.3725,
   'Ask_Volume': 4.05,
   'Bid_Volume': 2.76,
   'Spread': 0.14000000000000057,
   'Close_Price': 19.3725},
  Timestamp('2022-11-10 10:53:52.172307'): {'Ask': 18.8,
   'Bid': 18.6925,
   'Ask_Volume': 527.45,
   'Bid_Volume': 1.0,
   'Spread': 0.1075000000000017,
   'Close_Price': 18.8},
  Timestamp('2022-11-10 10:54:56.144525'): {'Ask': 18.65,
   'Bid': 18.56,
   'Ask_Volume': 10.09,
   'Bid_Volume': 108.28,
   'Spread': 0.08999999999999986,
   'Close_Price': 18.65},
  Timestamp('2022-11-10 10:56:00.312885'): {'Ask': 18.5775,
   'Bid': 18.4725,
   'Ask_Volume': 22.07,
   'Bid_Volume': 1.55,
   'Spread': 0.10500000000000043,
   'Close_Price': 18.48},
  Timestamp('2022-11-10 10:57:04.313167'): {'Ask': 18.64,
   'Bid': 18.545,
   'Ask_Volume': 5.39,
   'Bid_Volume': 0.16,
   'Spread': 0.09499999999999886,
   'Close_Price': 18.545},
  Timestamp('2022-11-10 10:58:11.625959'): {'Ask': 18.5475,
   'Bid': 18.4,
   'Ask_Volume': 5.4,
   'Bid_Volume': 57.76,
   'Spread': 0.14750000000000085,
   'Close_Price': 18.43},
  Timestamp('2022-11-10 10:59:16.604536'): {'Ask': 19.2,
   'Bid': 19.1875,
   'Ask_Volume': 0.29,
   'Bid_Volume': 2.52,
   'Spread': 0.01249999999999929,
   'Close_Price': 19.185},
  Timestamp('2022-11-10 11:00:20.586572'): {'Ask': 19.4,
   'Bid': 19.395,
   'Ask_Volume': 0.01,
   'Bid_Volume': 25.37,
   'Spread': 0.004999999999999005,
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   'Ask_Volume': 0.780941,
   'Bid_Volume': 40.042068,
   'Spread': 0.026799999999997937,
   'Close_Price': 16.455},
  Timestamp('2022-11-10 11:30:34.580912'): {'Ask': 17.4073,
   'Bid': 17.3806,
   'Ask_Volume': 0.780941,
   'Bid_Volume': 38.985195,
   'Spread': 0.02669999999999817,
   'Close_Price': 16.455},
  Timestamp('2022-11-10 11:31:39.706037'): {'Ask': 17.4073,
   'Bid': 17.3804,
   'Ask_Volume': 0.780941,
   'Bid_Volume': 0.781542,
   'Spread': 0.026899999999997704,
   'Close_Price': 16.455},
  Timestamp('2022-11-10 11:32:45.398478'): {'Ask': 17.3874,
   'Bid': 17.3606,
   'Ask_Volume': 40.016831,
   'Bid_Volume': 0.781988,
   'Spread': 0.026799999999997937,
   'Close_Price': 16.42},
  Timestamp('2022-11-10 11:33:51.633704'): {'Ask': 17.1868,
   'Bid': 17.1151,
   'Ask_Volume': 40.016831,
   'Bid_Volume': 1.051497,
   'Spread': 0.07169999999999987,
   'Close_Price': 16.275},
  Timestamp('2022-11-10 11:35:01.426216'): {'Ask': 16.84,
   'Bid': 16.8141,
   'Ask_Volume': 41.212354,
   'Bid_Volume': 0.794596,
   'Spread': 0.025900000000000034,
   'Close_Price': 16.4037},
  Timestamp('2022-11-10 11:36:10.719244'): {'Ask': 16.8638,
   'Bid': 16.8379,
   'Ask_Volume': 41.212354,
   'Bid_Volume': 0.794034,
   'Spread': 0.025900000000000034,
   'Close_Price': 16.4037},
  Timestamp('2022-11-10 11:37:18.732415'): {'Ask': 16.8379,
   'Bid': 16.8187,
   'Ask_Volume': 41.286758,
   'Bid_Volume': 0.794487,
   'Spread': 0.019200000000001438,
   'Close_Price': 16.244},
  Timestamp('2022-11-10 11:38:24.126225'): {'Ask': 16.648,
   'Bid': 16.6224,
   'Ask_Volume': 41.286758,
   'Bid_Volume': 0.799165,
   'Spread': 0.025600000000000733,
   'Close_Price': 16.0},
  Timestamp('2022-11-10 11:39:29.063151'): {'Ask': 16.4979,
   'Bid': 16.48,
   'Ask_Volume': 39.490598,
   'Bid_Volume': 10.0,
   'Spread': 0.017900000000000915,
   'Close_Price': 16.0459},
  Timestamp('2022-11-10 11:40:33.824078'): {'Ask': 16.5414,
   'Bid': 16.5159,
   'Ask_Volume': 0.801122,
   'Bid_Volume': 40.600714,
   'Spread': 0.025500000000000966,
   'Close_Price': 16.0395},
  Timestamp('2022-11-10 11:41:38.437848'): {'Ask': 16.6122,
   'Bid': 16.6001,
   'Ask_Volume': 0.799412,
   'Bid_Volume': 18.009661,
   'Spread': 0.012100000000000222,
   'Close_Price': 16.0395},
  Timestamp('2022-11-10 11:42:44.468366'): {'Ask': 16.6311,
   'Bid': 16.6122,
   'Ask_Volume': 0.798956,
   'Bid_Volume': 0.004215,
   'Spread': 0.018899999999998585,
   'Close_Price': 16.0},
  Timestamp('2022-11-10 11:43:52.514910'): {'Ask': 16.6123,
   'Bid': 16.5867,
   'Ask_Volume': 0.79941,
   'Bid_Volume': 41.720413,
   'Spread': 0.025600000000000733,
   'Close_Price': 16.0001},
  Timestamp('2022-11-10 11:44:58.577832'): {'Ask': 16.4093,
   'Bid': 16.3842,
   'Ask_Volume': 41.375183,
   'Bid_Volume': 41.375183,
   'Spread': 0.0251000000000019,
   'Close_Price': 15.9721},
  Timestamp('2022-11-10 11:46:05.057611'): {'Ask': 16.4094,
   'Bid': 16.3842,
   'Ask_Volume': 0.804336,
   'Bid_Volume': 41.375183,
   'Spread': 0.025200000000001666,
   'Close_Price': 15.9673},
  Timestamp('2022-11-10 11:47:11.353268'): {'Ask': 16.4094,
   'Bid': 16.3842,
   'Ask_Volume': 0.804336,
   'Bid_Volume': 39.119352,
   'Spread': 0.025200000000001666,
   'Close_Price': 15.9},
  Timestamp('2022-11-10 11:48:19.189128'): {'Ask': 16.4094,
   'Bid': 16.3842,
   'Ask_Volume': 0.804336,
   'Bid_Volume': 39.119352,
   'Spread': 0.025200000000001666,
   'Close_Price': 15.7469},
  Timestamp('2022-11-10 11:49:26.921931'): {'Ask': 16.4094,
   'Bid': 16.3841,
   'Ask_Volume': 0.804336,
   'Bid_Volume': 0.804955,
   'Spread': 0.025300000000001432,
   'Close_Price': 15.7469},
  Timestamp('2022-11-10 11:50:31.876262'): {'Ask': 16.6212,
   'Bid': 16.4029,
   'Ask_Volume': 12.573731,
   'Bid_Volume': 38.066575,
   'Spread': 0.21830000000000283,
   'Close_Price': 15.68},
  Timestamp('2022-11-10 11:51:36.672924'): {'Ask': 16.6608,
   'Bid': 16.6351,
   'Ask_Volume': 0.798246,
   'Bid_Volume': 38.066575,
   'Spread': 0.025699999999996948,
   'Close_Price': 15.6795},
  Timestamp('2022-11-10 11:52:42.531208'): {'Ask': 16.6608,
   'Bid': 16.635,
   'Ask_Volume': 0.798246,
   'Bid_Volume': 0.798861,
   'Spread': 0.025799999999996714,
   'Close_Price': 15.6795}}}

3.3 Bitcoin

datos_bitcoin, avance_bitcoin = main.descarga_de_datos(ticker_3)
avance_bitcoin

{'kraken': {Timestamp('2022-11-10 11:56:15.503641'): {'Ask': 17134.6,
   'Bid': 17134.5,
   'Ask_Volume': 2.903,
   'Bid_Volume': 0.097,
   'Spread': 0.09999999999854481,
   'Close_Price': 17134.4},
  Timestamp('2022-11-10 11:57:33.979138'): {'Ask': 17142.1,
   'Bid': 17132.7,
   'Ask_Volume': 0.303,
   'Bid_Volume': 0.002,
   'Spread': 9.399999999997817,
   'Close_Price': 17128.3},
  Timestamp('2022-11-10 11:58:40.049564'): {'Ask': 17153.0,
   'Bid': 17152.9,
   'Ask_Volume': 0.043,
   'Bid_Volume': 5.09,
   'Spread': 0.09999999999854481,
   'Close_Price': 17152.5},
  Timestamp('2022-11-10 11:59:44.186095'): {'Ask': 17183.3,
   'Bid': 17174.8,
   'Ask_Volume': 3.987,
   'Bid_Volume': 0.196,
   'Spread': 8.5,
   'Close_Price': 17186.8},
  Timestamp('2022-11-10 12:00:48.200567'): {'Ask': 17216.5,
   'Bid': 17208.7,
   'Ask_Volume': 0.4,
   'Bid_Volume': 0.195,
   'Spread': 7.799999999999272,
   'Close_Price': 17204.2},
  Timestamp('2022-11-10 12:01:52.346278'): {'Ask': 17207.9,
   'Bid': 17207.8,
   'Ask_Volume': 0.666,
   'Bid_Volume': 0.006,
   'Spread': 0.10000000000218279,
   'Close_Price': 17207.9},
  Timestamp('2022-11-10 12:02:58.422499'): {'Ask': 17278.8,
   'Bid': 17271.7,
   'Ask_Volume': 1.319,
   'Bid_Volume': 0.003,
   'Spread': 7.099999999998545,
   'Close_Price': 17277.8},
  Timestamp('2022-11-10 12:04:02.643466'): {'Ask': 17315.9,
   'Bid': 17315.8,
   'Ask_Volume': 3.956,
   'Bid_Volume': 1.0,
   'Spread': 0.10000000000218279,
   'Close_Price': 17315.8},
  Timestamp('2022-11-10 12:05:06.711343'): {'Ask': 17296.6,
   'Bid': 17292.8,
   'Ask_Volume': 0.55,
   'Bid_Volume': 0.558,
   'Spread': 3.7999999999992724,
   'Close_Price': 17292.6},
  Timestamp('2022-11-10 12:06:11.222029'): {'Ask': 17325.1,
   'Bid': 17325.0,
   'Ask_Volume': 1.068,
   'Bid_Volume': 2.021,
   'Spread': 0.09999999999854481,
   'Close_Price': 17325.1},
  Timestamp('2022-11-10 12:07:15.282337'): {'Ask': 17295.7,
   'Bid': 17288.5,
   'Ask_Volume': 0.025,
   'Bid_Volume': 0.588,
   'Spread': 7.200000000000728,
   'Close_Price': 17297.2},
  Timestamp('2022-11-10 12:08:19.560761'): {'Ask': 17322.6,
   'Bid': 17318.4,
   'Ask_Volume': 2.829,
   'Bid_Volume': 0.4,
   'Spread': 4.19999999999709,
   'Close_Price': 17318.9},
  Timestamp('2022-11-10 12:09:23.505187'): {'Ask': 17343.1,
   'Bid': 17329.9,
   'Ask_Volume': 0.943,
   'Bid_Volume': 0.56,
   'Spread': 13.19999999999709,
   'Close_Price': 17333.4},
  Timestamp('2022-11-10 12:10:27.494670'): {'Ask': 17353.5,
   'Bid': 17340.9,
   'Ask_Volume': 0.1,
   'Bid_Volume': 0.225,
   'Spread': 12.599999999998545,
   'Close_Price': 17352.9},
  Timestamp('2022-11-10 12:11:32.407087'): {'Ask': 17437.8,
   'Bid': 17428.7,
   'Ask_Volume': 0.208,
   'Bid_Volume': 1.306,
   'Spread': 9.099999999998545,
   'Close_Price': 17419.2},
  Timestamp('2022-11-10 12:12:37.506533'): {'Ask': 17430.0,
   'Bid': 17429.9,
   'Ask_Volume': 4.0,
   'Bid_Volume': 14.005,
   'Spread': 0.09999999999854481,
   'Close_Price': 17430.0},
  Timestamp('2022-11-10 12:13:44.675987'): {'Ask': 17426.2,
   'Bid': 17415.1,
   'Ask_Volume': 0.2,
   'Bid_Volume': 0.695,
   'Spread': 11.100000000002183,
   'Close_Price': 17419.9},
  Timestamp('2022-11-10 12:14:48.875789'): {'Ask': 17368.1,
   'Bid': 17366.9,
   'Ask_Volume': 1.474,
   'Bid_Volume': 0.198,
   'Spread': 1.1999999999970896,
   'Close_Price': 17368.0},
  Timestamp('2022-11-10 12:15:54.170317'): {'Ask': 17363.6,
   'Bid': 17358.7,
   'Ask_Volume': 0.001,
   'Bid_Volume': 0.399,
   'Spread': 4.899999999997817,
   'Close_Price': 17361.7},
  Timestamp('2022-11-10 12:16:58.344652'): {'Ask': 17367.0,
   'Bid': 17366.9,
   'Ask_Volume': 2.236,
   'Bid_Volume': 0.563,
   'Spread': 0.09999999999854481,
   'Close_Price': 17367.0},
  Timestamp('2022-11-10 12:18:02.351433'): {'Ask': 17342.5,
   'Bid': 17342.4,
   'Ask_Volume': 2.469,
   'Bid_Volume': 0.215,
   'Spread': 0.09999999999854481,
   'Close_Price': 17342.4},
  Timestamp('2022-11-10 12:19:06.385915'): {'Ask': 17350.0,
   'Bid': 17349.9,
   'Ask_Volume': 37.496,
   'Bid_Volume': 0.82,
   'Spread': 0.09999999999854481,
   'Close_Price': 17350.0},
  Timestamp('2022-11-10 12:20:11.373435'): {'Ask': 17367.7,
   'Bid': 17367.6,
   'Ask_Volume': 6.213,
   'Bid_Volume': 0.303,
   'Spread': 0.10000000000218279,
   'Close_Price': 17367.7},
  Timestamp('2022-11-10 12:21:15.312572'): {'Ask': 17344.7,
   'Bid': 17335.5,
   'Ask_Volume': 0.235,
   'Bid_Volume': 0.569,
   'Spread': 9.200000000000728,
   'Close_Price': 17337.2},
  Timestamp('2022-11-10 12:22:20.094155'): {'Ask': 17322.1,
   'Bid': 17320.0,
   'Ask_Volume': 0.951,
   'Bid_Volume': 0.001,
   'Spread': 2.099999999998545,
   'Close_Price': 17322.2},
  Timestamp('2022-11-10 12:23:25.999644'): {'Ask': 17277.4,
   'Bid': 17268.7,
   'Ask_Volume': 0.116,
   'Bid_Volume': 0.116,
   'Spread': 8.700000000000728,
   'Close_Price': 17254.1},
  Timestamp('2022-11-10 12:24:30.090052'): {'Ask': 17240.7,
   'Bid': 17236.8,
   'Ask_Volume': 0.1,
   'Bid_Volume': 1.138,
   'Spread': 3.900000000001455,
   'Close_Price': 17236.8},
  Timestamp('2022-11-10 12:25:34.453113'): {'Ask': 17332.6,
   'Bid': 17330.6,
   'Ask_Volume': 0.617,
   'Bid_Volume': 0.081,
   'Spread': 2.0,
   'Close_Price': 17327.4},
  Timestamp('2022-11-10 12:26:38.563283'): {'Ask': 17296.2,
   'Bid': 17287.8,
   'Ask_Volume': 0.67,
   'Bid_Volume': 4.339,
   'Spread': 8.400000000001455,
   'Close_Price': 17272.4},
  Timestamp('2022-11-10 12:27:42.632501'): {'Ask': 17287.0,
   'Bid': 17286.9,
   'Ask_Volume': 0.564,
   'Bid_Volume': 2.391,
   'Spread': 0.09999999999854481,
   'Close_Price': 17287.0},
  Timestamp('2022-11-10 12:28:46.630550'): {'Ask': 17294.4,
   'Bid': 17287.8,
   'Ask_Volume': 0.052,
   'Bid_Volume': 0.259,
   'Spread': 6.600000000002183,
   'Close_Price': 17287.8},
  Timestamp('2022-11-10 12:29:51.485946'): {'Ask': 17194.7,
   'Bid': 17187.5,
   'Ask_Volume': 2.32,
   'Bid_Volume': 0.56,
   'Spread': 7.200000000000728,
   'Close_Price': 17194.7},
  Timestamp('2022-11-10 12:30:55.625611'): {'Ask': 17218.3,
   'Bid': 17217.6,
   'Ask_Volume': 0.053,
   'Bid_Volume': 0.048,
   'Spread': 0.7000000000007276,
   'Close_Price': 17201.7},
  Timestamp('2022-11-10 12:32:01.829409'): {'Ask': 17229.8,
   'Bid': 17227.4,
   'Ask_Volume': 0.546,
   'Bid_Volume': 0.048,
   'Spread': 2.399999999997817,
   'Close_Price': 17226.4},
  Timestamp('2022-11-10 12:33:05.941445'): {'Ask': 17246.2,
   'Bid': 17245.9,
   'Ask_Volume': 0.596,
   'Bid_Volume': 0.32,
   'Spread': 0.2999999999992724,
   'Close_Price': 17246.4},
  Timestamp('2022-11-10 12:34:09.935074'): {'Ask': 17242.2,
   'Bid': 17237.4,
   'Ask_Volume': 0.488,
   'Bid_Volume': 1.357,
   'Spread': 4.799999999999272,
   'Close_Price': 17242.9},
  Timestamp('2022-11-10 12:35:14.963376'): {'Ask': 17262.9,
   'Bid': 17262.8,
   'Ask_Volume': 2.086,
   'Bid_Volume': 0.098,
   'Spread': 0.10000000000218279,
   'Close_Price': 17259.4},
  Timestamp('2022-11-10 12:36:19.905115'): {'Ask': 17284.2,
   'Bid': 17272.0,
   'Ask_Volume': 0.45,
   'Bid_Volume': 0.127,
   'Spread': 12.200000000000728,
   'Close_Price': 17290.4},
  Timestamp('2022-11-10 12:37:23.880310'): {'Ask': 17276.1,
   'Bid': 17266.4,
   'Ask_Volume': 0.45,
   'Bid_Volume': 0.002,
   'Spread': 9.69999999999709,
   'Close_Price': 17266.4},
  Timestamp('2022-11-10 12:38:27.876420'): {'Ask': 17260.9,
   'Bid': 17253.7,
   'Ask_Volume': 0.25,
   'Bid_Volume': 0.402,
   'Spread': 7.200000000000728,
   'Close_Price': 17260.8},
  Timestamp('2022-11-10 12:39:31.953284'): {'Ask': 17259.4,
   'Bid': 17257.6,
   'Ask_Volume': 2.666,
   'Bid_Volume': 0.402,
   'Spread': 1.8000000000029104,
   'Close_Price': 17265.8},
  Timestamp('2022-11-10 12:40:36.249694'): {'Ask': 17284.2,
   'Bid': 17283.4,
   'Ask_Volume': 2.645,
   'Bid_Volume': 0.002,
   'Spread': 0.7999999999992724,
   'Close_Price': 17284.2},
  Timestamp('2022-11-10 12:41:41.336615'): {'Ask': 17313.2,
   'Bid': 17306.1,
   'Ask_Volume': 0.618,
   'Bid_Volume': 0.002,
   'Spread': 7.100000000002183,
   'Close_Price': 17311.9},
  Timestamp('2022-11-10 12:42:45.392040'): {'Ask': 17330.1,
   'Bid': 17325.5,
   'Ask_Volume': 2.078,
   'Bid_Volume': 0.4,
   'Spread': 4.599999999998545,
   'Close_Price': 17344.0},
  Timestamp('2022-11-10 12:43:49.375911'): {'Ask': 17324.3,
   'Bid': 17316.8,
   'Ask_Volume': 0.25,
   'Bid_Volume': 0.168,
   'Spread': 7.5,
   'Close_Price': 17337.2},
  Timestamp('2022-11-10 12:44:55.391283'): {'Ask': 17320.0,
   'Bid': 17319.9,
   'Ask_Volume': 1.312,
   'Bid_Volume': 0.574,
   'Spread': 0.09999999999854481,
   'Close_Price': 17314.0},
  Timestamp('2022-11-10 12:46:01.469801'): {'Ask': 17303.4,
   'Bid': 17303.3,
   'Ask_Volume': 10.0,
   'Bid_Volume': 4.292,
   'Spread': 0.10000000000218279,
   'Close_Price': 17303.4},
  Timestamp('2022-11-10 12:47:05.593890'): {'Ask': 17303.4,
   'Bid': 17303.3,
   'Ask_Volume': 0.24,
   'Bid_Volume': 7.707,
   'Spread': 0.10000000000218279,
   'Close_Price': 17303.4},
  Timestamp('2022-11-10 12:48:15.439141'): {'Ask': 17324.1,
   'Bid': 17321.6,
   'Ask_Volume': 0.4,
   'Bid_Volume': 0.046,
   'Spread': 2.5,
   'Close_Price': 17324.0},
  Timestamp('2022-11-10 12:49:19.829937'): {'Ask': 17321.1,
   'Bid': 17315.8,
   'Ask_Volume': 0.255,
   'Bid_Volume': 0.001,
   'Spread': 5.299999999999272,
   'Close_Price': 17326.8},
  Timestamp('2022-11-10 12:50:24.236549'): {'Ask': 17308.5,
   'Bid': 17305.0,
   'Ask_Volume': 0.8,
   'Bid_Volume': 0.997,
   'Spread': 3.5,
   'Close_Price': 17285.9},
  Timestamp('2022-11-10 12:51:28.454964'): {'Ask': 17289.4,
   'Bid': 17285.9,
   'Ask_Volume': 2.459,
   'Bid_Volume': 0.6,
   'Spread': 3.5,
   'Close_Price': 17289.4},
  Timestamp('2022-11-10 12:52:32.958980'): {'Ask': 17316.3,
   'Bid': 17309.7,
   'Ask_Volume': 0.835,
   'Bid_Volume': 0.2,
   'Spread': 6.599999999998545,
   'Close_Price': 17310.2},
  Timestamp('2022-11-10 12:53:37.828024'): {'Ask': 17280.4,
   'Bid': 17277.0,
   'Ask_Volume': 2.836,
   'Bid_Volume': 0.116,
   'Spread': 3.400000000001455,
   'Close_Price': 17280.4},
  Timestamp('2022-11-10 12:54:42.517350'): {'Ask': 17274.7,
   'Bid': 17274.6,
   'Ask_Volume': 3.329,
   'Bid_Volume': 0.096,
   'Spread': 0.10000000000218279,
   'Close_Price': 17274.6},
  Timestamp('2022-11-10 12:55:47.011781'): {'Ask': 17290.4,
   'Bid': 17289.4,
   'Ask_Volume': 0.116,
   'Bid_Volume': 0.002,
   'Spread': 1.0,
   'Close_Price': 17292.6},
  Timestamp('2022-11-10 12:56:52.797329'): {'Ask': 17299.3,
   'Bid': 17299.2,
   'Ask_Volume': 0.021,
   'Bid_Volume': 12.284,
   'Spread': 0.09999999999854481,
   'Close_Price': 17299.2},
  Timestamp('2022-11-10 12:57:57.283296'): {'Ask': 17316.4,
   'Bid': 17316.3,
   'Ask_Volume': 0.006,
   'Bid_Volume': 4.506,
   'Spread': 0.10000000000218279,
   'Close_Price': 17316.3},
  Timestamp('2022-11-10 12:59:01.719495'): {'Ask': 17312.5,
   'Bid': 17312.4,
   'Ask_Volume': 3.137,
   'Bid_Volume': 1.576,
   'Spread': 0.09999999999854481,
   'Close_Price': 17321.3},
  Timestamp('2022-11-10 13:00:05.788816'): {'Ask': 17329.7,
   'Bid': 17326.0,
   'Ask_Volume': 0.649,
   'Bid_Volume': 0.116,
   'Spread': 3.7000000000007276,
   'Close_Price': 17325.9}},
 'ftx': {Timestamp('2022-11-10 11:56:15.503641'): {'Ask': 17170.0,
   'Bid': 17169.0,
   'Ask_Volume': 2.6485,
   'Bid_Volume': 7.9654,
   'Spread': 1.0,
   'Close_Price': 17169.0},
  Timestamp('2022-11-10 11:57:33.979138'): {'Ask': 17089.0,
   'Bid': 17088.0,
   'Ask_Volume': 0.0472,
   'Bid_Volume': 2.2665,
   'Spread': 1.0,
   'Close_Price': 17089.0},
  Timestamp('2022-11-10 11:58:40.049564'): {'Ask': 17090.0,
   'Bid': 17089.0,
   'Ask_Volume': 9.7481,
   'Bid_Volume': 0.2437,
   'Spread': 1.0,
   'Close_Price': 17089.0},
  Timestamp('2022-11-10 11:59:44.186095'): {'Ask': 17167.0,
   'Bid': 17166.0,
   'Ask_Volume': 0.0553,
   'Bid_Volume': 1.2478,
   'Spread': 1.0,
   'Close_Price': 17166.0},
  Timestamp('2022-11-10 12:00:48.200567'): {'Ask': 17188.0,
   'Bid': 17187.0,
   'Ask_Volume': 12.4067,
   'Bid_Volume': 2.3528,
   'Spread': 1.0,
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   'Ask_Volume': 0.06352175,
   'Bid_Volume': 0.0375,
   'Spread': 5.899999999997817,
   'Close_Price': 16767.6},
  Timestamp('2022-11-10 12:32:01.829409'): {'Ask': 17247.3,
   'Bid': 17243.6,
   'Ask_Volume': 0.00420953,
   'Bid_Volume': 0.00702035,
   'Spread': 3.7000000000007276,
   'Close_Price': 16764.1},
  Timestamp('2022-11-10 12:33:05.941445'): {'Ask': 17265.8,
   'Bid': 17262.3,
   'Ask_Volume': 0.0111336,
   'Bid_Volume': 0.01113471,
   'Spread': 3.5,
   'Close_Price': 16708.5},
  Timestamp('2022-11-10 12:34:09.935074'): {'Ask': 17277.4,
   'Bid': 17266.2,
   'Ask_Volume': 0.06346153,
   'Bid_Volume': 0.0375,
   'Spread': 11.200000000000728,
   'Close_Price': 16720.3},
  Timestamp('2022-11-10 12:35:14.963376'): {'Ask': 17279.6,
   'Bid': 17277.9,
   'Ask_Volume': 0.01112915,
   'Bid_Volume': 0.42964,
   'Spread': 1.6999999999970896,
   'Close_Price': 16636.9},
  Timestamp('2022-11-10 12:36:19.905115'): {'Ask': 17317.9,
   'Bid': 17302.7,
   'Ask_Volume': 0.01338731,
   'Bid_Volume': 0.01112169,
   'Spread': 15.200000000000728,
   'Close_Price': 16599.9},
  Timestamp('2022-11-10 12:37:23.880310'): {'Ask': 17299.0,
   'Bid': 17295.4,
   'Ask_Volume': 0.01112292,
   'Bid_Volume': 0.01112403,
   'Spread': 3.599999999998545,
   'Close_Price': 16594.1},
  Timestamp('2022-11-10 12:38:27.876420'): {'Ask': 17295.5,
   'Bid': 17280.4,
   'Ask_Volume': 0.01112403,
   'Bid_Volume': 0.06345587,
   'Spread': 15.099999999998545,
   'Close_Price': 16538.4},
  Timestamp('2022-11-10 12:39:31.953284'): {'Ask': 17292.1,
   'Bid': 17288.5,
   'Ask_Volume': 0.01112515,
   'Bid_Volume': 0.01112626,
   'Spread': 3.599999999998545,
   'Close_Price': 16555.9},
  Timestamp('2022-11-10 12:40:36.249694'): {'Ask': 17314.6,
   'Bid': 17311.9,
   'Ask_Volume': 0.01111789,
   'Bid_Volume': 0.16681451,
   'Spread': 2.6999999999970896,
   'Close_Price': 16588.0},
  Timestamp('2022-11-10 12:41:41.336615'): {'Ask': 17346.6,
   'Bid': 17331.1,
   'Ask_Volume': 0.07338024,
   'Bid_Volume': 0.28841,
   'Spread': 15.5,
   'Close_Price': 16582.0},
  Timestamp('2022-11-10 12:42:45.392040'): {'Ask': 17366.8,
   'Bid': 17363.2,
   'Ask_Volume': 0.01110118,
   'Bid_Volume': 0.01110229,
   'Spread': 3.599999999998545,
   'Close_Price': 16531.7},
  Timestamp('2022-11-10 12:43:49.375911'): {'Ask': 17351.7,
   'Bid': 17336.7,
   'Ask_Volume': 0.06332553,
   'Bid_Volume': 0.39458,
   'Spread': 15.0,
   'Close_Price': 16508.3},
  Timestamp('2022-11-10 12:44:55.391283'): {'Ask': 17343.5,
   'Bid': 17340.2,
   'Ask_Volume': 0.01110863,
   'Bid_Volume': 0.16025,
   'Spread': 3.2999999999992724,
   'Close_Price': 16489.5},
  Timestamp('2022-11-10 12:46:01.469801'): {'Ask': 17336.6,
   'Bid': 17333.0,
   'Ask_Volume': 0.01111085,
   'Bid_Volume': 0.01111196,
   'Spread': 3.599999999998545,
   'Close_Price': 16549.5},
  Timestamp('2022-11-10 12:47:05.593890'): {'Ask': 17336.8,
   'Bid': 17333.4,
   'Ask_Volume': 0.01111079,
   'Bid_Volume': 0.26299,
   'Spread': 3.399999999997817,
   'Close_Price': 16623.5},
  Timestamp('2022-11-10 12:48:15.439141'): {'Ask': 17340.3,
   'Bid': 17336.9,
   'Ask_Volume': 0.01110967,
   'Bid_Volume': 0.28914,
   'Spread': 3.399999999997817,
   'Close_Price': 16707.8},
  Timestamp('2022-11-10 12:49:19.829937'): {'Ask': 17347.8,
   'Bid': 17344.3,
   'Ask_Volume': 0.01110725,
   'Bid_Volume': 0.01110836,
   'Spread': 3.5,
   'Close_Price': 16699.0},
  Timestamp('2022-11-10 12:50:24.236549'): {'Ask': 17339.3,
   'Bid': 17332.6,
   'Ask_Volume': 0.0288339,
   'Bid_Volume': 0.06336013,
   'Spread': 6.700000000000728,
   'Close_Price': 16632.3},
  Timestamp('2022-11-10 12:51:28.454964'): {'Ask': 17317.7,
   'Bid': 17314.3,
   'Ask_Volume': 0.01111692,
   'Bid_Volume': 0.19339,
   'Spread': 3.400000000001455,
   'Close_Price': 16643.1},
  Timestamp('2022-11-10 12:52:32.958980'): {'Ask': 17350.6,
   'Bid': 17334.1,
   'Ask_Volume': 0.0733717,
   'Bid_Volume': 0.30663,
   'Spread': 16.5,
   'Close_Price': 16687.2},
  Timestamp('2022-11-10 12:53:37.828024'): {'Ask': 17314.2,
   'Bid': 17310.6,
   'Ask_Volume': 0.01111803,
   'Bid_Volume': 0.01111914,
   'Spread': 3.600000000002183,
   'Close_Price': 16642.5},
  Timestamp('2022-11-10 12:54:42.517350'): {'Ask': 17308.0,
   'Bid': 17281.6,
   'Ask_Volume': 0.06,
   'Bid_Volume': 0.57839255,
   'Spread': 26.400000000001455,
   'Close_Price': 16585.3},
  Timestamp('2022-11-10 12:55:47.011781'): {'Ask': 17322.4,
   'Bid': 17304.6,
   'Ask_Volume': 0.18711,
   'Bid_Volume': 0.049,
   'Spread': 17.80000000000291,
   'Close_Price': 16577.1},
  Timestamp('2022-11-10 12:56:52.797329'): {'Ask': 17332.6,
   'Bid': 17318.3,
   'Ask_Volume': 0.06336031,
   'Bid_Volume': 0.31314,
   'Spread': 14.299999999999272,
   'Close_Price': 16603.4},
  Timestamp('2022-11-10 12:57:57.283296'): {'Ask': 17339.6,
   'Bid': 17331.4,
   'Ask_Volume': 0.06334764,
   'Bid_Volume': 0.23365,
   'Spread': 8.19999999999709,
   'Close_Price': 16590.4},
  Timestamp('2022-11-10 12:59:01.719495'): {'Ask': 17347.6,
   'Bid': 17332.5,
   'Ask_Volume': 0.00036951,
   'Bid_Volume': 0.06336031,
   'Spread': 15.099999999998545,
   'Close_Price': 16617.8},
  Timestamp('2022-11-10 13:00:05.788816'): {'Ask': 17344.3,
   'Bid': 17340.9,
   'Ask_Volume': 0.01110839,
   'Bid_Volume': 0.27053,
   'Spread': 3.399999999997817,
   'Close_Price': 16600.8}}}

4. Microestructura del Mercado: Visuales

---

• Microestructura del Mercado: Visuales. En este apartado se construyen series temporales con las características del libro de órdenes (niveles, volúmenes, VWAP, etc.) y se grafican con Plotly.

Para completar esta sección se obtiene la siguiente verificación de avance en forma de un dataframe:

Level. Profundidad del libro de órdenes.

Ask Volume. Volumen en la cadena de la oferta.

Bid Volume. Volumen en la cadena de la demanda.

Total Volume. Volumen total.

Mid Price. $0.5 \space (Bid + Ask)$

VWAP. Cotización ponderada por el volumen.

4.1 Ethereum

microestructura_datos, level, ask_v, bid_v, total_v, mid_p, vwap = main.microestructura_visuales(datos_ethereum, ticker_1)
microestructura_datos["kraken"]

	Level	Ask Volume	Bid Volume	Total Volume	Mid Price	VWAP
Timestamp
2022-11-10 09:28:35.644735	100	3290.92	5357.5	8648.43	1319.95	1319.03
2022-11-10 09:29:46.394854	100	3844.78	2668.04	6512.82	1320.82	1322.78
2022-11-10 09:30:50.346266	100	2634.46	4678.21	7312.67	1321.97	1320.29
2022-11-10 09:31:54.430854	100	3546.28	3127.43	6673.72	1315.12	1316.2
2022-11-10 09:32:58.546607	100	3565.16	3998.33	7563.48	1309.37	1309.96
2022-11-10 09:34:02.628608	100	2817	3978.48	6795.48	1314.3	1313.06
2022-11-10 09:35:07.529575	100	3530.5	4460.42	7990.92	1313.18	1312.32
2022-11-10 09:36:11.639433	100	3525.49	4461.23	7986.71	1309.8	1310.57
2022-11-10 09:37:15.949923	100	3988.59	5873.91	9862.5	1306.51	1305.65
2022-11-10 09:38:20.035781	100	3136.84	2592.41	5729.26	1306.07	1307.1
2022-11-10 09:39:24.174198	100	3628.54	3903.67	7532.22	1309.59	1309.72
2022-11-10 09:40:29.660220	100	2204.52	2664.2	4868.72	1308.94	1309.27
2022-11-10 09:41:34.011014	100	1753.18	2929.28	4682.46	1312.55	1310.22
2022-11-10 09:42:38.528209	100	1363.08	3656.32	5019.4	1315.18	1310.98
2022-11-10 09:43:42.591013	100	1599.67	4554.82	6154.5	1313.24	1309.85
2022-11-10 09:44:46.504048	100	2010.16	4668.64	6678.8	1312.11	1309.27
2022-11-10 09:45:50.542204	100	1942.72	4415.62	6358.34	1313.2	1310.11
2022-11-10 09:46:54.704811	100	1600.3	4350.25	5950.55	1310.74	1307.84
2022-11-10 09:47:58.708392	100	2085.7	4961.43	7047.14	1309.07	1306.69
2022-11-10 09:49:02.740324	100	2120.23	5102.3	7222.53	1308.49	1306.24
2022-11-10 09:50:06.658321	100	2046.92	2682.14	4729.06	1306.53	1306.08
2022-11-10 09:51:10.695317	100	2524.48	5052.03	7576.51	1311.99	1308.95
2022-11-10 09:52:14.945929	100	2439.27	6271.79	8711.06	1311.99	1308.85
2022-11-10 09:53:19.174931	100	2445.5	5087.08	7532.58	1312.53	1310.3
2022-11-10 09:54:23.243970	100	2877.9	3042.77	5920.67	1312.32	1312.33
2022-11-10 09:55:27.562914	100	2915.71	2019.12	4934.83	1306.74	1309.46
2022-11-10 09:56:32.775296	100	3067.59	2584.69	5652.28	1309.14	1310.1
2022-11-10 09:57:39.983660	100	3173.13	2893.16	6066.29	1309.67	1310.24
2022-11-10 09:58:45.658707	100	2418.64	5029.34	7447.98	1319.34	1316.35
2022-11-10 09:59:52.704866	100	2815.74	6241.43	9057.17	1319.74	1315.99
2022-11-10 10:00:56.884026	100	2655.3	5748.8	8404.1	1316.36	1314.17
2022-11-10 10:02:01.477157	100	1460.67	5783.99	7244.66	1314.57	1310.2
2022-11-10 10:03:05.487149	100	2715.25	5729.22	8444.48	1308.32	1305.51
2022-11-10 10:04:09.532437	100	2399.16	2981.94	5381.09	1310.62	1310.74
2022-11-10 10:05:13.631048	100	2012.39	4662.81	6675.2	1317.78	1314.57
2022-11-10 10:06:20.671989	100	2458.94	5874.01	8332.95	1320.78	1317.38
2022-11-10 10:07:24.726174	100	1748.34	4837.57	6585.91	1324.24	1320.86
2022-11-10 10:08:29.205327	100	2225.5	6846.99	9072.49	1323.59	1320.32
2022-11-10 10:09:33.281240	100	1631.55	7292.22	8923.77	1326.64	1320.69
2022-11-10 10:10:37.454569	100	1028.08	4584.16	5612.25	1328.24	1323.08
2022-11-10 10:11:43.062217	100	1968.04	5822.69	7790.73	1325.88	1322.6
2022-11-10 10:12:50.688218	100	2002.09	5949.63	7951.72	1323.28	1320.97
2022-11-10 10:13:55.698116	100	2647.02	6070.8	8717.82	1324.55	1322.46
2022-11-10 10:14:59.897255	100	1338.99	6067.02	7406.02	1328.07	1323.28
2022-11-10 10:16:04.393786	100	1263.93	4988.68	6252.61	1330.41	1324.8
2022-11-10 10:17:09.999747	100	1957.83	5100.97	7058.81	1340.18	1334.91
2022-11-10 10:18:14.037100	100	1397.53	6929.5	8327.02	1341.43	1333.62
2022-11-10 10:19:18.219276	100	2251.75	6284.76	8536.51	1333.92	1329.67
2022-11-10 10:20:22.370608	100	2883.23	5874.44	8757.68	1330.55	1328.42
2022-11-10 10:21:26.421877	100	2043.36	6406.12	8449.48	1334.48	1328.94
2022-11-10 10:22:34.328141	100	1755.88	7242.21	8998.09	1335.91	1329.42
2022-11-10 10:23:39.949650	100	2567.07	6452.25	9019.32	1333.15	1329.11
2022-11-10 10:24:45.063962	100	2945.15	7241.73	10186.9	1336.34	1331.39
2022-11-10 10:25:48.134186	100	1385.06	5379.9	6764.95	1334.07	1328.86
2022-11-10 10:26:52.766609	100	2436.23	4838.39	7274.61	1335.56	1332.84
2022-11-10 10:28:00.746138	100	2384.24	5961.33	8345.57	1341.6	1336.69
2022-11-10 10:29:07.301749	100	1926.11	6154.09	8080.19	1346.16	1339.3
2022-11-10 10:30:12.172124	100	875.34	5859.77	6735.11	1344.36	1338.29
2022-11-10 10:31:16.734750	100	1025.75	7038.49	8064.24	1337.37	1332.15
2022-11-10 10:32:21.547108	100	2407.26	7072.94	9480.2	1337.5	1333.52

microestructura_datos["ftx"]

	Level	Ask Volume	Bid Volume	Total Volume	Mid Price	VWAP
Timestamp
2022-11-10 09:28:35.644735	20	3.083	13.856	16.939	1420.8	1416.31
2022-11-10 09:29:46.394854	20	8.375	12.991	21.366	1419.4	1420.62
2022-11-10 09:30:50.346266	20	9.944	9.082	19.026	1424.2	1423.97
2022-11-10 09:31:54.430854	20	10.452	6.433	16.885	1416.7	1419.21
2022-11-10 09:32:58.546607	20	15.067	199.91	214.977	1410.15	1408.34
2022-11-10 09:34:02.628608	20	18.882	189.411	208.293	1409	1408.42
2022-11-10 09:35:07.529575	20	14.823	165.789	180.612	1408.55	1408.36
2022-11-10 09:36:11.639433	20	11.576	5.934	17.51	1399.85	1401.05
2022-11-10 09:37:15.949923	20	11.917	0.635	12.552	1392.45	1393.48
2022-11-10 09:38:20.035781	20	8.108	14.492	22.6	1383.3	1384.92
2022-11-10 09:39:24.174198	20	1.88	14.594	16.474	1380.25	1378.4
2022-11-10 09:40:29.660220	20	14.523	0.827	15.35	1375	1375.92
2022-11-10 09:41:34.011014	20	7.595	19.586	27.181	1376.15	1375.38
2022-11-10 09:42:38.528209	20	1.719	1.107	2.826	1378.45	1378.53
2022-11-10 09:43:42.591013	20	8.654	9.244	17.898	1374.95	1376.07
2022-11-10 09:44:46.504048	20	15.214	11.198	26.412	1374.3	1374.54
2022-11-10 09:45:50.542204	20	18.944	13.138	32.082	1376.8	1377.39
2022-11-10 09:46:54.704811	20	10.863	7.796	18.659	1373	1373.69
2022-11-10 09:47:58.708392	20	8.02	4.483	12.503	1371.25	1370.49
2022-11-10 09:49:02.740324	20	9.234	9.761	18.995	1373.35	1373.7
2022-11-10 09:50:06.658321	20	0.391	14.254	14.645	1368.75	1367.58
2022-11-10 09:51:10.695317	20	11.76	9.344	21.104	1419.15	1420.8
2022-11-10 09:52:14.945929	20	7.571	3.58	11.151	1405.65	1404.55
2022-11-10 09:53:19.174931	20	12.776	8.427	21.203	1427.3	1430.08
2022-11-10 09:54:23.243970	20	15.783	9.504	25.287	1411.4	1412.61
2022-11-10 09:55:27.562914	20	15.306	14.489	29.795	1407.05	1408.91
2022-11-10 09:56:32.775296	20	8.648	6.115	14.763	1403.05	1403.11
2022-11-10 09:57:39.983660	20	15.677	6.568	22.245	1395.9	1396.48
2022-11-10 09:58:45.658707	20	9.124	17.074	26.198	1414.75	1413.44
2022-11-10 09:59:52.704866	20	14.448	19.828	34.276	1430.55	1430.93
2022-11-10 10:00:56.884026	20	21.643	32.119	53.762	1435.1	1434.68
2022-11-10 10:02:01.477157	20	1.594	72.404	73.998	1445.35	1441.28
2022-11-10 10:03:05.487149	20	48.714	113.691	162.405	1436.05	1435.22
2022-11-10 10:04:09.532437	20	1331.52	0.649	1332.16	1419.95	1420
2022-11-10 10:05:13.631048	20	43.039	8.56	51.599	1443.7	1450.26
2022-11-10 10:06:20.671989	20	4.822	9.57	14.392	1454.85	1452.36
2022-11-10 10:07:24.726174	20	11.392	10.545	21.937	1458.5	1458.34
2022-11-10 10:08:29.205327	20	14.851	6.536	21.387	1434.55	1435.63
2022-11-10 10:09:33.281240	20	40.61	16.045	56.655	1447.1	1446.43
2022-11-10 10:10:37.454569	20	5.341	12.692	18.033	1472.9	1475.04
2022-11-10 10:11:43.062217	20	12.035	10.49	22.525	1478.4	1482.03
2022-11-10 10:12:50.688218	20	7.454	14.953	22.407	1461.2	1464.45
2022-11-10 10:13:55.698116	20	100.242	8.857	109.099	1462.25	1464.19
2022-11-10 10:14:59.897255	20	0.605	17.492	18.097	1495.65	1493.93
2022-11-10 10:16:04.393786	20	24.876	203.172	228.048	1514.85	1512.97
2022-11-10 10:17:09.999747	20	0.701	8.377	9.078	1516.4	1513.5
2022-11-10 10:18:14.037100	20	363.672	20.684	384.356	1526.95	1534.04
2022-11-10 10:19:18.219276	20	55.468	8.137	63.605	1519.35	1527.46
2022-11-10 10:20:22.370608	20	16.833	17.44	34.273	1530.15	1538.64
2022-11-10 10:21:26.421877	20	0.546	1.999	2.545	1545.9	1543.92
2022-11-10 10:22:34.328141	20	1329.21	0.829	1330.04	1539.8	1541.99
2022-11-10 10:23:39.949650	20	269.755	29.25	299.005	1490.45	1495.74
2022-11-10 10:24:45.063962	20	211.666	8.733	220.399	1478.75	1480.89
2022-11-10 10:25:48.134186	20	247.966	0.638	248.604	1473.75	1479.05
2022-11-10 10:26:52.766609	20	681.392	1.072	682.464	1450	1454.95
2022-11-10 10:28:00.746138	20	35.759	8.022	43.781	1442.75	1447.43
2022-11-10 10:29:07.301749	20	7.116	18.602	25.718	1436.5	1433.03
2022-11-10 10:30:12.172124	20	3.986	24.848	28.834	1429.65	1427.62
2022-11-10 10:31:16.734750	20	945.637	7.497	953.134	1405.95	1418.53
2022-11-10 10:32:21.547108	20	939.474	2.487	941.961	1405.95	1418.88

microestructura_datos["cex"]

	Level	Ask Volume	Bid Volume	Total Volume	Mid Price	VWAP
Timestamp
2022-11-10 09:28:35.644735	564	1536.01	3773.64	5309.65	1318.99	1053.58
2022-11-10 09:29:46.394854	561	1527.82	3776.42	5304.24	1320.67	1053.34
2022-11-10 09:30:50.346266	563	1535.99	3774.16	5310.15	1320.95	1054.3
2022-11-10 09:31:54.430854	562	1520.37	3778.6	5298.97	1315.64	1051.03
2022-11-10 09:32:58.546607	559	1404.71	3688.98	5093.69	1310.73	1038.79
2022-11-10 09:34:02.628608	562	1537.1	3778.96	5316.05	1314.2	1051.51
2022-11-10 09:35:07.529575	561	1518.04	3779.24	5297.28	1314.12	1050.15
2022-11-10 09:36:11.639433	562	1519.49	3780.31	5299.8	1312.05	1049.46
2022-11-10 09:37:15.949923	561	1601.95	3774.98	5376.93	1306.73	1052.25
2022-11-10 09:38:20.035781	555	1467.61	3710.31	5177.92	1306.83	1041.5
2022-11-10 09:39:24.174198	560	1524.21	3780.2	5304.41	1310.48	1048.84
2022-11-10 09:40:29.660220	563	1521.08	3780.02	5301.1	1309.51	1048.69
2022-11-10 09:41:34.011014	562	1526.26	3776.65	5302.91	1313.34	1050.61
2022-11-10 09:42:38.528209	562	1525.62	3785.17	5310.79	1315.55	1051.65
2022-11-10 09:43:42.591013	562	1523.03	3778.01	5301.04	1314.07	1050.51
2022-11-10 09:44:46.504048	560	1518.54	3778.01	5296.55	1312.81	1050
2022-11-10 09:45:50.542204	558	1450.99	3702.95	5153.94	1313.97	1042.7
2022-11-10 09:46:54.704811	560	1526.78	3779.96	5306.74	1312.46	1050.13
2022-11-10 09:47:58.708392	560	1519.35	3779.29	5298.64	1309.3	1048.35
2022-11-10 09:49:02.740324	561	1528.01	3781.9	5309.9	1308.91	1048.88
2022-11-10 09:50:06.658321	558	1419.54	3752.36	5171.9	1307.99	1041.16
2022-11-10 09:51:10.695317	561	1526.86	3779.74	5306.6	1313.23	1050.39
2022-11-10 09:52:14.945929	561	1518.44	3778.44	5296.88	1313.32	1049.82
2022-11-10 09:53:19.174931	558	1518.56	3778.62	5297.18	1313.04	1050.02
2022-11-10 09:54:23.243970	562	1518.44	3786.85	5305.3	1311.54	1049.73
2022-11-10 09:55:27.562914	563	1528.56	3780.85	5309.41	1308.03	1048.33
2022-11-10 09:56:32.775296	563	1526.9	3783.86	5310.77	1309.47	1049.07
2022-11-10 09:57:39.983660	560	1519.07	3781.49	5300.56	1310.2	1048.68
2022-11-10 09:58:45.658707	562	1516.46	3775	5291.46	1319.42	1052.3
2022-11-10 09:59:52.704866	561	1517.46	3776.94	5294.39	1320.16	1052.55
2022-11-10 10:00:56.884026	561	1525.41	3778.31	5303.72	1317.26	1051.9
2022-11-10 10:02:01.477157	557	1523.38	3779.13	5302.52	1315.32	1051.37
2022-11-10 10:03:05.487149	557	1516.52	3781.3	5297.83	1309.95	1047.65
2022-11-10 10:04:09.532437	561	1498.86	3780.4	5279.26	1311.39	1048.19
2022-11-10 10:05:13.631048	559	1514.24	3745.83	5260.07	1318.5	1049.98
2022-11-10 10:06:20.671989	559	1514.92	3782.88	5297.8	1322.07	1053.47
2022-11-10 10:07:24.726174	559	1514.19	3775.02	5289.21	1325.46	1054.24
2022-11-10 10:08:29.205327	560	1513.97	3781.29	5295.26	1325.49	1054.5
2022-11-10 10:09:33.281240	556	1520.81	3772.02	5292.83	1328.58	1055.58
2022-11-10 10:10:37.454569	558	1512.63	3823.15	5335.78	1329.22	1058.18
2022-11-10 10:11:43.062217	561	1523.14	3827.07	5350.21	1327.37	1058.11
2022-11-10 10:12:50.688218	557	1476.63	3831.48	5308.11	1325.51	1054.84
2022-11-10 10:13:55.698116	558	1514.11	3824.79	5338.89	1326.96	1056.97
2022-11-10 10:14:59.897255	560	1521.05	3823.38	5344.43	1329.27	1058.6
2022-11-10 10:16:04.393786	557	1484.22	3819.45	5303.67	1331.12	1056.96
2022-11-10 10:17:09.999747	559	1498.66	3664.78	5163.44	1340.49	1054.1
2022-11-10 10:18:14.037100	554	1489.59	3800.66	5290.25	1342.98	1061
2022-11-10 10:19:18.219276	553	1508.61	3823.53	5332.14	1335.59	1060.15
2022-11-10 10:20:22.370608	555	1512.12	3824.66	5336.78	1330.93	1058.63
2022-11-10 10:21:26.421877	554	1367.75	3798.84	5166.59	1335.26	1051.07
2022-11-10 10:22:34.328141	555	1459.97	3820.87	5280.84	1335.7	1057.72
2022-11-10 10:23:39.949650	555	1521.41	3827.19	5348.59	1332.12	1059.81
2022-11-10 10:24:45.063962	555	1521.41	3827.19	5348.59	1332.12	1059.81
2022-11-10 10:25:48.134186	552	1459.43	3819.24	5278.68	1333.47	1056.75
2022-11-10 10:26:52.766609	557	1520.18	3819.4	5339.58	1335.27	1060.81
2022-11-10 10:28:00.746138	556	1509.19	3823.58	5332.77	1341.55	1062.74
2022-11-10 10:29:07.301749	559	1637.24	3862.62	5499.86	1346.49	1073.97
2022-11-10 10:30:12.172124	558	1490.64	3796.9	5287.53	1346.07	1062.96
2022-11-10 10:31:16.734750	562	1647.77	3825.16	5472.93	1337.95	1069.69
2022-11-10 10:32:21.547108	561	1640.03	3862.69	5502.73	1339.29	1071.27

level

ask_v

bid_v

total_v

mid_p

vwap

4.2 Solana

microestructura_datos, level, ask_v, bid_v, total_v, mid_p, vwap = main.microestructura_visuales(datos_solana, ticker_2)
microestructura_datos["kraken"]

	Level	Ask Volume	Bid Volume	Total Volume	Mid Price	VWAP
Timestamp
2022-11-10 10:48:16.803532	100	16057	54336.4	70393.3	19.005	18.9622
2022-11-10 10:49:32.720856	100	14205.4	26189.7	40395.1	19.015	18.9521
2022-11-10 10:50:38.295411	100	11726.8	22497.2	34223.9	19.045	18.8593
2022-11-10 10:51:43.193787	100	12487.4	36030.8	48518.2	18.995	18.717
2022-11-10 10:52:47.350236	100	11581.3	54295.2	65876.4	18.925	18.7485
2022-11-10 10:53:52.172307	100	12119	60360.7	72479.6	18.96	18.7338
2022-11-10 10:54:56.144525	100	11465.6	54978.2	66443.8	18.935	18.7558
2022-11-10 10:56:00.312885	100	12135	59510.8	71645.8	18.905	18.7013
2022-11-10 10:57:04.313167	100	12758.7	57173.4	69932.1	18.915	18.7082
2022-11-10 10:58:11.625959	100	12919.5	54317.7	67237.2	18.905	18.6891
2022-11-10 10:59:16.604536	100	12935.2	43962.2	56897.3	18.905	18.6292
2022-11-10 11:00:20.586572	100	13023	29177.8	42200.8	18.795	18.5634
2022-11-10 11:01:24.650615	100	15535.4	27456.3	42991.6	18.325	18.0023
2022-11-10 11:02:28.628026	100	19222.6	51957.5	71180.1	17.81	17.1154
2022-11-10 11:03:32.878283	100	23147.3	40716.5	63863.9	17.785	17.4738
2022-11-10 11:04:37.084207	100	25654.6	39335	64989.6	17.8	17.5063
2022-11-10 11:05:41.114985	100	23517.9	38007.3	61525.2	17.675	17.3411
2022-11-10 11:06:47.463621	100	17802.4	55867	73669.4	17.525	16.899
2022-11-10 11:07:51.562846	100	18627.8	45031.3	63659.1	17.565	16.9513
2022-11-10 11:08:56.745463	100	10008.8	44057.3	54066.1	17.585	16.7283
2022-11-10 11:10:01.841086	100	9782.3	26493.2	36275.5	17.425	16.9631
2022-11-10 11:11:07.080485	100	13101.9	46058	59159.9	17.46	16.8075
2022-11-10 11:12:11.516249	100	9100.8	37376.4	46477.2	17.59	16.9942
2022-11-10 11:13:15.804330	100	10382.2	48429.7	58811.9	17.565	16.8505
2022-11-10 11:14:20.735077	100	10141.6	50977.6	61119.3	17.575	16.8743
2022-11-10 11:15:24.885367	100	11005	41563.4	52568.5	17.555	17.0517
2022-11-10 11:16:29.098419	100	11199.1	52055.3	63254.4	17.68	17.1664
2022-11-10 11:17:33.580246	100	13027.8	50748.7	63776.5	17.505	17.084
2022-11-10 11:18:38.000241	100	7873.69	54823.9	62697.6	17.63	16.8306
2022-11-10 11:19:43.518327	100	12949	40998	53947	17.57	17.171
2022-11-10 11:20:49.218519	100	12973	51315.5	64288.4	17.525	17.2263
2022-11-10 11:21:53.484904	100	13927.4	51064.4	64991.8	17.715	17.3416
2022-11-10 11:22:57.674665	100	12837.4	53246	66083.4	17.74	17.3595
2022-11-10 11:24:01.748705	100	13050.3	52342.5	65392.7	17.685	17.3304
2022-11-10 11:25:06.307597	100	13723.8	49722.8	63446.6	17.705	17.3888
2022-11-10 11:26:11.483459	100	14008.6	52169.8	66178.4	17.695	17.3468
2022-11-10 11:27:19.801638	100	13799.4	50684.4	64483.8	17.625	17.3188
2022-11-10 11:28:24.340255	100	13907.4	45101.1	59008.5	17.435	17.2203
2022-11-10 11:29:28.770872	100	12517.2	43645	56162.2	17.52	17.1773
2022-11-10 11:30:34.580912	100	15448.8	47983.5	63432.3	17.495	17.2155
2022-11-10 11:31:39.706037	100	14566.7	50112.4	64679	17.385	16.9884
2022-11-10 11:32:45.398478	100	13655.4	52138.7	65794.2	17.25	16.9854
2022-11-10 11:33:51.633704	100	5861.09	60173.6	66034.7	17.04	16.5055
2022-11-10 11:35:01.426216	100	5317.56	39815.8	45133.4	16.79	16.1832
2022-11-10 11:36:10.719244	100	6801.56	57318.3	64119.8	16.825	16.2972
2022-11-10 11:37:18.732415	100	6346.29	54106.3	60452.6	16.755	16.222
2022-11-10 11:38:24.126225	100	6052.65	53281.3	59333.9	16.67	16.1355
2022-11-10 11:39:29.063151	100	6055.45	54646.3	60701.7	16.43	15.9911
2022-11-10 11:40:33.824078	100	14810.5	45070.8	59881.4	16.58	16.1255
2022-11-10 11:41:38.437848	100	15116.5	56131.3	71247.8	16.63	16.2244
2022-11-10 11:42:44.468366	100	15402.3	56486.9	71889.2	16.61	16.2006
2022-11-10 11:43:52.514910	100	6491.94	56957.5	63449.5	16.605	16.1086
2022-11-10 11:44:58.577832	100	5775.94	49025.2	54801.1	16.435	15.9704
2022-11-10 11:46:05.057611	100	5182.08	51501.1	56683.1	16.455	16.0102
2022-11-10 11:47:11.353268	100	15198.1	53308.9	68506.9	16.52	16.2198
2022-11-10 11:48:19.189128	100	6298.26	57706.1	64004.4	16.58	16.0834
2022-11-10 11:49:26.921931	100	7015.68	56730.2	63745.9	16.515	16.0687
2022-11-10 11:50:31.876262	100	6478.5	60085.7	66564.2	16.665	16.1317
2022-11-10 11:51:36.672924	100	5479.04	56419.3	61898.3	16.695	16.1375
2022-11-10 11:52:42.531208	100	6641.25	55965.2	62606.5	16.64	16.1744

microestructura_datos["ftx"]

	Level	Ask Volume	Bid Volume	Total Volume	Mid Price	VWAP
Timestamp
2022-11-10 10:48:16.803532	20	298.24	187.61	485.85	19.8687	19.9141
2022-11-10 10:49:32.720856	20	417.23	207.59	624.82	19.8188	19.9002
2022-11-10 10:50:38.295411	20	325.23	68.26	393.49	19.5737	19.8889
2022-11-10 10:51:43.193787	20	370.11	641.24	1011.35	19.8438	19.845
2022-11-10 10:52:47.350236	20	386	433.1	819.1	19.4425	19.1629
2022-11-10 10:53:52.172307	20	1252.91	181.13	1434.04	18.7462	18.8649
2022-11-10 10:54:56.144525	20	792.75	527.67	1320.42	18.605	18.5911
2022-11-10 10:56:00.312885	20	851.44	448.35	1299.79	18.525	18.6041
2022-11-10 10:57:04.313167	20	753.45	391.01	1144.46	18.5925	18.665
2022-11-10 10:58:11.625959	20	1254.43	140.84	1395.27	18.4737	18.6432
2022-11-10 10:59:16.604536	20	379.62	409.14	788.76	19.1938	19.2869
2022-11-10 11:00:20.586572	20	97.41	61.11	158.52	19.3975	19.4573
2022-11-10 11:01:24.650615	20	173.34	23.05	196.39	18.9237	19.1523
2022-11-10 11:02:28.628026	20	96.27	32.29	128.56	18.9013	19.0305
2022-11-10 11:03:32.878283	20	49.01	169.87	218.88	19.0012	18.9309
2022-11-10 11:04:37.084207	20	100.97	127.42	228.39	18.7362	18.7658
2022-11-10 11:05:41.114985	20	83.71	102.49	186.2	18.5637	18.5803
2022-11-10 11:06:47.463621	20	65.33	4893.09	4958.42	18.6812	18.6755
2022-11-10 11:07:51.562846	20	17.29	4610.27	4627.56	18.6788	18.6754
2022-11-10 11:08:56.745463	20	96.01	3774.69	3870.7	18.7063	18.6825
2022-11-10 11:10:01.841086	20	51.17	3671.17	3722.34	18.87	18.6845
2022-11-10 11:11:07.080485	20	68.84	3655.66	3724.5	18.6938	18.6782
2022-11-10 11:12:11.516249	20	41.92	3731.41	3773.33	19.0562	18.6944
2022-11-10 11:13:15.804330	20	26.96	3743.56	3770.52	19.5012	19.4679
2022-11-10 11:14:20.735077	20	12775.6	131.89	12907.5	19.4537	19.6508
2022-11-10 11:15:24.885367	20	77.14	161.94	239.08	18.9638	18.8912
2022-11-10 11:16:29.098419	20	12885.4	244.66	13130.1	18.9112	18.9979
2022-11-10 11:17:33.580246	20	64.9	37.42	102.32	18.5987	18.657
2022-11-10 11:18:38.000241	20	12639.1	158.65	12797.7	18.4738	18.6944
2022-11-10 11:19:43.518327	20	12646.5	129.53	12776	18.4462	18.6944
2022-11-10 11:20:49.218519	20	12657.5	46.86	12704.4	18.4838	18.6973
2022-11-10 11:21:53.484904	20	238.38	1689.18	1927.56	18.3175	18.3086
2022-11-10 11:22:57.674665	20	95.84	1114.96	1210.8	18.3025	18.2763
2022-11-10 11:24:01.748705	20	91.33	1047.58	1138.91	18.3025	18.2764
2022-11-10 11:25:06.307597	20	12526.7	998.01	13524.7	18.445	18.6708
2022-11-10 11:26:11.483459	20	9355.21	843.97	10199.2	18.3963	18.575
2022-11-10 11:27:19.801638	20	9388.75	55717.9	65106.7	18.3287	18.3188
2022-11-10 11:28:24.340255	20	19.85	47053.4	47073.3	18.5125	18.3067
2022-11-10 11:29:28.770872	20	119.04	23512.1	23631.2	18.6125	18.5484
2022-11-10 11:30:34.580912	20	114.53	22527	22641.6	18.6038	18.5477
2022-11-10 11:31:39.706037	20	60.18	22252	22312.2	18.5688	18.5475
2022-11-10 11:32:45.398478	20	60.69	21814.4	21875.1	18.6225	18.5485
2022-11-10 11:33:51.633704	20	119.88	18017.9	18137.7	18.8462	18.5614
2022-11-10 11:35:01.426216	20	88.72	187.02	275.74	18.8862	18.7541
2022-11-10 11:36:10.719244	20	141.14	17861.8	18002.9	18.9812	18.9753
2022-11-10 11:37:18.732415	20	86.57	18273.9	18360.4	19.0763	18.9751
2022-11-10 11:38:24.126225	20	106.39	17333.5	17439.9	18.9787	18.9759
2022-11-10 11:39:29.063151	20	137.53	14293.7	14431.2	18.9763	18.9758
2022-11-10 11:40:33.824078	20	58.23	43.96	102.19	18.9763	19.0322
2022-11-10 11:41:38.437848	20	73.99	36.13	110.12	18.84	18.8852
2022-11-10 11:42:44.468366	20	65.33	1416.11	1481.44	18.7875	18.7543
2022-11-10 11:43:52.514910	20	56.1	1389.28	1445.38	18.7925	18.7558
2022-11-10 11:44:58.577832	20	106.96	784.22	891.18	18.775	18.7573
2022-11-10 11:46:05.057611	20	79.73	760.8	840.53	18.7762	18.7558
2022-11-10 11:47:11.353268	20	121.75	22568.2	22690	18.6437	18.5477
2022-11-10 11:48:19.189128	20	84.54	17190.3	17274.8	18.845	18.5598
2022-11-10 11:49:26.921931	20	78.25	23203.5	23281.8	18.6538	18.5531
2022-11-10 11:50:31.876262	20	141.27	22974.3	23115.6	18.6525	18.5528
2022-11-10 11:51:36.672924	20	172.81	22339.7	22512.6	18.6537	18.5501
2022-11-10 11:52:42.531208	20	189.7	20102.1	20291.8	18.5988	18.5457

microestructura_datos["cex"]

	Level	Ask Volume	Bid Volume	Total Volume	Mid Price	VWAP
Timestamp
2022-11-10 10:48:16.803532	407	5285.93	6017	11302.9	18.2486	130.662
2022-11-10 10:49:32.720856	406	5280.75	6100.4	11381.2	18.2354	129.879
2022-11-10 10:50:38.295411	406	5281.09	6067.54	11348.6	18.2354	130.202
2022-11-10 10:51:43.193787	404	5230.96	6067.43	11298.4	18.2447	130.7
2022-11-10 10:52:47.350236	404	5218.02	6100.71	11318.7	18.2447	130.49
2022-11-10 10:53:52.172307	407	5253.38	6061.52	11314.9	18.3145	130.524
2022-11-10 10:54:56.144525	406	5217.75	6098.18	11315.9	18.3146	130.496
2022-11-10 10:56:00.312885	406	5218.3	6094.34	11312.6	18.2417	130.527
2022-11-10 10:57:04.313167	408	5267.18	6086.31	11353.5	18.2417	130.125
2022-11-10 10:58:11.625959	409	5280.68	6039.5	11320.2	18.2416	130.439
2022-11-10 10:59:16.604536	407	5256.67	6041.32	11298	18.0791	130.667
2022-11-10 11:00:20.586572	408	5267.37	6041.86	11309.2	18.0096	130.55
2022-11-10 11:01:24.650615	408	5262.32	6056.84	11319.2	17.6914	130.41
2022-11-10 11:02:28.628026	407	5249.39	6123.84	11373.2	17.6915	129.839
2022-11-10 11:03:32.878283	408	5256.96	6117.75	11374.7	17.6915	129.79
2022-11-10 11:04:37.084207	409	5270.53	6084.59	11355.1	17.6914	129.978
2022-11-10 11:05:41.114985	409	5270.58	6089.99	11360.6	17.6914	129.912
2022-11-10 11:06:47.463621	409	5257.59	6107.54	11365.1	17.6688	129.812
2022-11-10 11:07:51.562846	408	5257.67	6204.06	11461.7	17.6712	128.859
2022-11-10 11:08:56.745463	408	5241.82	6176.99	11418.8	17.5703	129.265
2022-11-10 11:10:01.841086	408	5244.77	6174.47	11419.2	17.5692	129.24
2022-11-10 11:11:07.080485	407	5211.1	6190.53	11401.6	17.5476	129.38
2022-11-10 11:12:11.516249	406	5213.3	6193.12	11406.4	17.5678	129.342
2022-11-10 11:13:15.804330	409	5262.25	6190.37	11452.6	17.5678	128.883
2022-11-10 11:14:20.735077	405	5262.16	6194.21	11456.4	17.5677	128.838
2022-11-10 11:15:24.885367	406	5264.95	6675.08	11940	17.5244	124.288
2022-11-10 11:16:29.098419	406	5205.98	6681.33	11887.3	17.5046	124.784
2022-11-10 11:17:33.580246	407	5267.7	6628.36	11896.1	17.5044	124.69
2022-11-10 11:18:38.000241	408	5260.6	6552.12	11812.7	17.5046	125.569
2022-11-10 11:19:43.518327	407	5261.8	6471.72	11733.5	17.5045	126.316
2022-11-10 11:20:49.218519	407	5266.7	6522.84	11789.5	17.5046	125.811
2022-11-10 11:21:53.484904	407	5245.45	6522.36	11767.8	17.5445	126.016
2022-11-10 11:22:57.674665	407	5281.07	6505.72	11786.8	17.5954	125.841
2022-11-10 11:24:01.748705	405	5280.18	6596.97	11877.2	17.6558	125.02
2022-11-10 11:25:06.307597	404	5270.55	6575.25	11845.8	17.6558	125.313
2022-11-10 11:26:11.483459	402	5281.63	6579.95	11861.6	17.6938	125.166
2022-11-10 11:27:19.801638	408	5282.85	6525.16	11808	17.6595	125.657
2022-11-10 11:28:24.340255	408	5262.96	6514.63	11777.6	17.455	125.927
2022-11-10 11:29:28.770872	408	5264.48	6522.62	11787.1	17.3939	125.833
2022-11-10 11:30:34.580912	409	5278.12	6555.14	11833.3	17.394	125.402
2022-11-10 11:31:39.706037	407	5250.01	6507.23	11757.2	17.3939	126.069
2022-11-10 11:32:45.398478	410	5118.61	6522.79	11641.4	17.374	126.892
2022-11-10 11:33:51.633704	408	5174.53	6538.57	11713.1	17.151	126.259
2022-11-10 11:35:01.426216	407	5252.27	6539.51	11791.8	16.827	125.551
2022-11-10 11:36:10.719244	409	5312.66	6574.57	11887.2	16.8509	124.637
2022-11-10 11:37:18.732415	410	5358.05	6563.23	11921.3	16.8283	124.319
2022-11-10 11:38:24.126225	409	5299.07	6568.26	11867.3	16.6352	124.785
2022-11-10 11:39:29.063151	409	5234.21	6613.54	11847.8	16.489	124.916
2022-11-10 11:40:33.824078	406	5172.6	6681.92	11854.5	16.5286	124.784
2022-11-10 11:41:38.437848	406	5172.11	6686.9	11859	16.6061	124.756
2022-11-10 11:42:44.468366	408	5240.78	6669.63	11910.4	16.6217	124.288
2022-11-10 11:43:52.514910	408	5241.97	6726.2	11968.2	16.5995	123.733
2022-11-10 11:44:58.577832	409	5245.96	6698.84	11944.8	16.3968	123.96
2022-11-10 11:46:05.057611	408	5207.82	6708.84	11916.7	16.3968	124.205
2022-11-10 11:47:11.353268	406	5162.73	6749.82	11912.6	16.3968	124.193
2022-11-10 11:48:19.189128	406	5184.66	6715.93	11900.6	16.3968	124.304
2022-11-10 11:49:26.921931	408	5209.5	6678.23	11887.7	16.3968	124.432
2022-11-10 11:50:31.876262	402	5201.79	6756.4	11958.2	16.5121	123.816
2022-11-10 11:51:36.672924	402	5181.4	6723.24	11904.6	16.648	124.32
2022-11-10 11:52:42.531208	406	5197.42	6724.24	11921.7	16.6479	124.166

level

ask_v

bid_v

total_v

mid_p

vwap

4.3 Bitcoin

microestructura_datos, level, ask_v, bid_v, total_v, mid_p, vwap = main.microestructura_visuales(datos_bitcoin, ticker_3)
microestructura_datos["kraken"]

	Level	Ask Volume	Bid Volume	Total Volume	Mid Price	VWAP
Timestamp
2022-11-10 11:56:15.503641	100	312.052	416.892	728.944	17134.5	17129.4
2022-11-10 11:57:33.979138	100	323.478	284.633	608.111	17137.4	17155.6
2022-11-10 11:58:40.049564	100	339.772	327.21	666.982	17153	17170.4
2022-11-10 11:59:44.186095	100	341.303	288.467	629.77	17179	17193.3
2022-11-10 12:00:48.200567	100	336.332	420.749	757.081	17212.6	17194.2
2022-11-10 12:01:52.346278	100	328.922	489.689	818.611	17207.8	17185.5
2022-11-10 12:02:58.422499	100	304.959	585.89	890.849	17275.2	17221.2
2022-11-10 12:04:02.643466	100	304.708	545.948	850.656	17315.8	17281.3
2022-11-10 12:05:06.711343	100	254.619	605.649	860.268	17294.7	17252.8
2022-11-10 12:06:11.222029	100	225.47	611.596	837.066	17325	17265.6
2022-11-10 12:07:15.282337	100	226.331	615.491	841.822	17292.1	17252.7
2022-11-10 12:08:19.560761	100	247.097	615.151	862.248	17320.5	17270.2
2022-11-10 12:09:23.505187	100	234.236	618.881	853.117	17336.5	17279.5
2022-11-10 12:10:27.494670	100	225.191	619.22	844.411	17347.2	17285.4
2022-11-10 12:11:32.407087	100	180.603	562.369	742.972	17433.2	17322.4
2022-11-10 12:12:37.506533	100	217.766	577.396	795.162	17430	17356.9
2022-11-10 12:13:44.675987	100	227.153	585.843	812.996	17420.7	17371.3
2022-11-10 12:14:48.875789	100	218.655	536.507	755.162	17367.5	17322.1
2022-11-10 12:15:54.170317	100	235.796	574.568	810.364	17361.2	17325
2022-11-10 12:16:58.344652	100	229.248	579.174	808.422	17367	17325.8
2022-11-10 12:18:02.351433	100	229.277	582.896	812.173	17342.5	17313
2022-11-10 12:19:06.385915	100	271.559	582.19	853.749	17350	17310.5
2022-11-10 12:20:11.373435	100	217.455	586.159	803.614	17367.7	17311.5
2022-11-10 12:21:15.312572	100	200.375	552.091	752.466	17340.1	17297.3
2022-11-10 12:22:20.094155	100	238.431	602.071	840.502	17321	17279.4
2022-11-10 12:23:25.999644	100	204.617	614.544	819.161	17273.1	17238.7
2022-11-10 12:24:30.090052	100	236.583	579.053	815.636	17238.8	17216.7
2022-11-10 12:25:34.453113	100	222.076	557.078	779.154	17331.6	17262.7
2022-11-10 12:26:38.563283	100	227.907	572.761	800.668	17292	17248.1
2022-11-10 12:27:42.632501	100	243.222	589.756	832.978	17287	17244.2
2022-11-10 12:28:46.630550	100	228.323	608.459	836.782	17291.1	17248.9
2022-11-10 12:29:51.485946	100	213.304	448.029	661.333	17191.1	17162.2
2022-11-10 12:30:55.625611	100	238.462	516.254	754.716	17217.9	17176.5
2022-11-10 12:32:01.829409	100	238.297	439.274	677.571	17228.6	17196.8
2022-11-10 12:33:05.941445	100	229.335	522.313	751.648	17246.1	17200
2022-11-10 12:34:09.935074	100	223.826	481.776	705.602	17239.8	17205.6
2022-11-10 12:35:14.963376	100	201.011	328.306	529.317	17262.8	17238.6
2022-11-10 12:36:19.905115	100	173.909	340.496	514.405	17278.1	17258.2
2022-11-10 12:37:23.880310	100	188.723	337.23	525.953	17271.2	17253.9
2022-11-10 12:38:27.876420	100	203.042	329.699	532.741	17257.3	17245.8
2022-11-10 12:39:31.953284	100	208.651	351.052	559.703	17258.5	17246
2022-11-10 12:40:36.249694	100	201.833	324.906	526.739	17283.8	17269.4
2022-11-10 12:41:41.336615	100	195.86	361.117	556.977	17309.7	17274.7
2022-11-10 12:42:45.392040	100	204.007	356.148	560.155	17327.8	17310.9
2022-11-10 12:43:49.375911	100	234.86	364.662	599.522	17320.5	17307
2022-11-10 12:44:55.391283	100	257.004	356.527	613.531	17320	17305.4
2022-11-10 12:46:01.469801	100	246.81	380.616	627.426	17303.3	17294.1
2022-11-10 12:47:05.593890	100	249.999	362.843	612.842	17303.3	17300.2
2022-11-10 12:48:15.439141	100	257.331	371.822	629.153	17322.8	17305.9
2022-11-10 12:49:19.829937	100	256.335	345.262	601.597	17318.4	17304.4
2022-11-10 12:50:24.236549	100	271.261	369.288	640.549	17306.8	17298.5
2022-11-10 12:51:28.454964	100	278.742	369.202	647.944	17287.7	17286.8
2022-11-10 12:52:32.958980	100	290.344	387.136	677.48	17313	17296.9
2022-11-10 12:53:37.828024	100	292.873	356.667	649.54	17278.7	17275.8
2022-11-10 12:54:42.517350	100	309.893	372.098	681.991	17274.7	17272.1
2022-11-10 12:55:47.011781	100	309.554	357.706	667.26	17289.9	17282.2
2022-11-10 12:56:52.797329	100	311.843	419.086	730.929	17299.2	17293.4
2022-11-10 12:57:57.283296	100	305.048	411.317	716.365	17316.3	17304.7
2022-11-10 12:59:01.719495	100	310.21	377.354	687.564	17312.5	17303.1
2022-11-10 13:00:05.788816	100	295.876	376.408	672.284	17327.8	17309.9

microestructura_datos["ftx"]

	Level	Ask Volume	Bid Volume	Total Volume	Mid Price	VWAP
Timestamp
2022-11-10 11:56:15.503641	20	7.0006	9.7862	16.7868	17169.5	17169.2
2022-11-10 11:57:33.979138	20	24.2926	3.2262	27.5188	17088.5	17089.3
2022-11-10 11:58:40.049564	20	10.4555	3.1708	13.6263	17089.5	17086.5
2022-11-10 11:59:44.186095	20	17.088	4.6159	21.7039	17166.5	17180.9
2022-11-10 12:00:48.200567	20	14.4947	2.9835	17.4782	17187.5	17190.6
2022-11-10 12:01:52.346278	20	13.7147	4.655	18.3697	17183	17185.8
2022-11-10 12:02:58.422499	20	1.6752	5.0417	6.7169	17296.5	17267.5
2022-11-10 12:04:02.643466	20	6.6501	4.19	10.8401	17280.5	17292.8
2022-11-10 12:05:06.711343	20	4.9321	4.0557	8.9878	17260.5	17269
2022-11-10 12:06:11.222029	20	2.935	4.4917	7.4267	17277.5	17280.5
2022-11-10 12:07:15.282337	20	3.9283	2.0481	5.9764	17261.5	17286.5
2022-11-10 12:08:19.560761	20	2.797	10.6607	13.4577	17310.5	17311.4
2022-11-10 12:09:23.505187	20	2.9085	11.8148	14.7233	17311.5	17312.1
2022-11-10 12:10:27.494670	20	2.1391	13.4456	15.5847	17301.5	17302.8
2022-11-10 12:11:32.407087	20	1.5737	9.9073	11.481	17377	17322.9
2022-11-10 12:12:37.506533	20	1.221	12.8671	14.0881	17419	17392.6
2022-11-10 12:13:44.675987	20	3.7881	25.2465	29.0346	17399.5	17392.2
2022-11-10 12:14:48.875789	20	2.492	16.4987	18.9907	17394.5	17390.4
2022-11-10 12:15:54.170317	20	3.3525	11.5433	14.8958	17413.5	17395.2
2022-11-10 12:16:58.344652	20	9.6095	3.7214	13.3309	17383.5	17393.3
2022-11-10 12:18:02.351433	20	6.1918	1.0097	7.2015	17316	17341.2
2022-11-10 12:19:06.385915	20	4.5525	14.8998	19.4523	17306.5	17248.8
2022-11-10 12:20:11.373435	20	4.3171	5.1266	9.4437	17335.5	17345
2022-11-10 12:21:15.312572	20	2.1835	2.2043	4.3878	17307.5	17316.1
2022-11-10 12:22:20.094155	20	55.1949	2.9673	58.1622	17249.5	17269.1
2022-11-10 12:23:25.999644	20	46.7349	2.3926	49.1275	17249.5	17267.1
2022-11-10 12:24:30.090052	20	47.4538	4.3199	51.7737	17217.5	17243
2022-11-10 12:25:34.453113	20	21.3368	178.808	200.145	17249.5	17247.3
2022-11-10 12:26:38.563283	20	38.1407	181.781	219.921	17249.5	17248
2022-11-10 12:27:42.632501	20	38.6907	170.434	209.125	17249.5	17247.4
2022-11-10 12:28:46.630550	20	35.1578	172.62	207.778	17249.5	17248
2022-11-10 12:29:51.485946	20	16.6402	127.19	143.83	17249.5	17249.9
2022-11-10 12:30:55.625611	20	21.0219	109.639	130.661	17249.5	17250.1
2022-11-10 12:32:01.829409	20	18.9042	100.85	119.755	17249.5	17249.9
2022-11-10 12:33:05.941445	20	17.1573	100.317	117.474	17249.5	17250.5
2022-11-10 12:34:09.935074	20	5.4787	102.283	107.762	17249.5	17248.8
2022-11-10 12:35:14.963376	20	5.2934	115.969	121.263	17249.5	17242.1
2022-11-10 12:36:19.905115	20	6.7281	97.2521	103.98	17273.5	17253.4
2022-11-10 12:37:23.880310	20	8.8903	99.2657	108.156	17249.5	17245.9
2022-11-10 12:38:27.876420	20	8.7373	82.3569	91.0942	17249.5	17247.7
2022-11-10 12:39:31.953284	20	6.1342	86.4985	92.6327	17249.5	17243.7
2022-11-10 12:40:36.249694	20	5.6195	76.3526	81.9721	17259.5	17251.2
2022-11-10 12:41:41.336615	20	11.2603	93.6169	104.877	17259.5	17252.3
2022-11-10 12:42:45.392040	20	20.1816	11.4056	31.5872	17312.5	17318.6
2022-11-10 12:43:49.375911	20	24.1663	91.9087	116.075	17300.5	17270.1
2022-11-10 12:44:55.391283	20	22.8079	15.8571	38.665	17299	17302.4
2022-11-10 12:46:01.469801	20	24.7659	12.8307	37.5966	17287.5	17299
2022-11-10 12:47:05.593890	20	25.0495	89.4761	114.526	17288.5	17267.9
2022-11-10 12:48:15.439141	20	23.2504	22.357	45.6074	17288.5	17293.5
2022-11-10 12:49:19.829937	20	21.9088	89.5318	111.441	17288.5	17265.7
2022-11-10 12:50:24.236549	20	24.4193	81.6977	106.117	17282.5	17264.3
2022-11-10 12:51:28.454964	20	25.2593	81.1992	106.459	17287.5	17265.1
2022-11-10 12:52:32.958980	20	24.7001	94.6744	119.374	17287.5	17266.5
2022-11-10 12:53:37.828024	20	26.047	77.0176	103.065	17287.5	17264.9
2022-11-10 12:54:42.517350	20	23.9417	78.855	102.797	17281.5	17260
2022-11-10 12:55:47.011781	20	19.4185	83.6446	103.063	17260.5	17256
2022-11-10 12:56:52.797329	20	26.6027	90.5644	117.167	17279.5	17261.6
2022-11-10 12:57:57.283296	20	26.0884	81.3959	107.484	17279.5	17262.5
2022-11-10 12:59:01.719495	20	21.4955	93.5364	115.032	17278.5	17260.8
2022-11-10 13:00:05.788816	20	24.6349	75.7415	100.376	17254.5	17259.3

microestructura_datos["cex"]

	Level	Ask Volume	Bid Volume	Total Volume	Mid Price	VWAP
Timestamp
2022-11-10 11:56:15.503641	805	91.0266	172.974	264.001	17179.2	21693.1
2022-11-10 11:57:33.979138	796	90.5317	172.717	263.248	17178.4	21690
2022-11-10 11:58:40.049564	802	90.767	173.082	263.849	17202.4	21692.8
2022-11-10 11:59:44.186095	803	90.9264	172.935	263.861	17224.7	21703
2022-11-10 12:00:48.200567	801	91.0783	172.905	263.983	17267.7	21709.4
2022-11-10 12:01:52.346278	799	90.1005	172.785	262.885	17257	21730.8
2022-11-10 12:02:58.422499	796	87.6244	169.675	257.3	17327.1	21850.6
2022-11-10 12:04:02.643466	803	91.0552	172.824	263.88	17367	21751.1
2022-11-10 12:05:06.711343	802	90.7247	172.914	263.638	17324.1	21741.5
2022-11-10 12:06:11.222029	800	90.6988	172.729	263.428	17354.8	21750.3
2022-11-10 12:07:15.282337	802	105.295	172.276	277.571	17346	21527.7
2022-11-10 12:08:19.560761	802	105.246	173.244	278.49	17361.8	21520.8
2022-11-10 12:09:23.505187	804	102.426	169.755	272.181	17376.2	21623.4
2022-11-10 12:10:27.494670	802	105.25	173.132	278.382	17383.8	21525.8
2022-11-10 12:11:32.407087	788	101.604	172.471	274.075	17472.9	21610.3
2022-11-10 12:12:37.506533	801	102.221	169.416	271.638	17454.8	21657.4
2022-11-10 12:13:44.675987	804	105.253	172.745	277.998	17462.4	21566.9
2022-11-10 12:14:48.875789	805	105.022	184.425	289.447	17406.7	21379.4
2022-11-10 12:15:54.170317	805	105.077	184.511	289.588	17405.5	21376
2022-11-10 12:16:58.344652	804	105.135	184.697	289.832	17404.6	21374.9
2022-11-10 12:18:02.351433	805	105.176	184.343	289.519	17374.8	21369.4
2022-11-10 12:19:06.385915	804	105.279	184.76	290.039	17390.2	21362
2022-11-10 12:20:11.373435	805	105.314	184.713	290.027	17392.5	21365
2022-11-10 12:21:15.312572	804	105.419	184.441	289.86	17349.3	21358
2022-11-10 12:22:20.094155	806	105.366	184.912	290.278	17348.4	21346.8
2022-11-10 12:23:25.999644	807	105.418	184.928	290.346	17284.3	21325.1
2022-11-10 12:24:30.090052	807	105.403	184.18	289.583	17263.5	21323.9
2022-11-10 12:25:34.453113	803	105.116	184.06	289.176	17354.6	21352
2022-11-10 12:26:38.563283	807	106.162	183.901	290.064	17335.5	21342.5
2022-11-10 12:27:42.632501	806	105.884	183.807	289.691	17309.7	21340.1
2022-11-10 12:28:46.630550	807	106.237	184.052	290.29	17324.9	21339.5
2022-11-10 12:29:51.485946	802	105.138	183.944	289.081	17214.2	21309.9
2022-11-10 12:30:55.625611	805	105.942	182.779	288.721	17241.7	21323.9
2022-11-10 12:32:01.829409	805	106.028	182.764	288.792	17245.4	21325.1
2022-11-10 12:33:05.941445	806	106.116	183.022	289.138	17264	21329.7
2022-11-10 12:34:09.935074	805	106.012	182.649	288.661	17271.8	21337.5
2022-11-10 12:35:14.963376	805	104.991	183.08	288.071	17278.8	21354.4
2022-11-10 12:36:19.905115	804	105.825	183.175	289	17310.3	21351.1
2022-11-10 12:37:23.880310	806	105.95	183.207	289.157	17297.2	21343.9
2022-11-10 12:38:27.876420	805	105.935	183.214	289.15	17288	21340.8
2022-11-10 12:39:31.953284	804	105.968	182.39	288.358	17290.3	21351.7
2022-11-10 12:40:36.249694	805	105.936	183.371	289.308	17313.2	21347.7
2022-11-10 12:41:41.336615	804	106.026	183.437	289.462	17338.8	21350.5
2022-11-10 12:42:45.392040	806	105.843	178.062	283.905	17365	21445.3
2022-11-10 12:43:49.375911	805	105.847	183.479	289.326	17344.2	21360.9
2022-11-10 12:44:55.391283	806	105.867	183.25	289.117	17341.8	21363.1
2022-11-10 12:46:01.469801	805	105.895	183	288.895	17334.8	21361.7
2022-11-10 12:47:05.593890	805	106.151	182.786	288.937	17335.1	21364.3
2022-11-10 12:48:15.439141	806	105.939	182.8	288.738	17338.6	21368.8
2022-11-10 12:49:19.829937	801	105.717	182.972	288.689	17346	21370.2
2022-11-10 12:50:24.236549	806	106.014	182.951	288.964	17335.9	21362.3
2022-11-10 12:51:28.454964	805	105.984	182.642	288.626	17316	21357.2
2022-11-10 12:52:32.958980	802	103.058	179.834	282.892	17342.3	21444.9
2022-11-10 12:53:37.828024	804	105.991	183.197	289.188	17312.4	21346.2
2022-11-10 12:54:42.517350	805	105.964	183.453	289.417	17294.8	21341.8
2022-11-10 12:55:47.011781	804	106.042	183.213	289.255	17313.5	21343.4
2022-11-10 12:56:52.797329	804	105.916	183.46	289.376	17325.4	21352
2022-11-10 12:57:57.283296	802	105.887	182.613	288.5	17335.5	21369.4
2022-11-10 12:59:01.719495	805	105.933	183.138	289.071	17340	21363.3
2022-11-10 13:00:05.788816	806	105.933	183.403	289.336	17342.6	21361.6

level

ask_v

bid_v

total_v

mid_p

vwap

5. Microestructura del Mercado: Modelado

---

• Microestructura del Mercado: Modelado. En este apartado se estima el Effective Spread del modelo de Roll.

Para completar esta sección se obtiene la siguiente verificación de avance en forma de un dataframe:

Close. Cotización de cierre.

Spread. Ask - Bid.

Effective Spread. Modelo de Roll.

5.1 Ethereum

modelado_ethereum = main.microestructura_modelado(avance_ethereum)
modelado_ethereum["kraken"].drop(["Diferencia"], axis = 1)

	Close	Spread	Effective Spread
timeStamp
2022-11-10 09:28:35.644735	1319.87	0.01	NaN
2022-11-10 09:29:46.394854	1321.22	0.69	NaN
2022-11-10 09:30:50.346266	1322	0.05	NaN
2022-11-10 09:31:54.430854	1314.56	0.24	NaN
2022-11-10 09:32:58.546607	1308.15	0.34	NaN
2022-11-10 09:34:02.628608	1314.31	0.31	NaN
2022-11-10 09:35:07.529575	1313.44	0.07	NaN
2022-11-10 09:36:11.639433	1309.79	0.01	NaN
2022-11-10 09:37:15.949923	1306.51	0.01	NaN
2022-11-10 09:38:20.035781	1306.24	0.18	NaN
2022-11-10 09:39:24.174198	1309.65	0.01	6.15923
2022-11-10 09:40:29.660220	1308.79	0.22	6.1486
2022-11-10 09:41:34.011014	1312.6	0.01	6.39087
2022-11-10 09:42:38.528209	1315.17	0.01	3.88471
2022-11-10 09:43:42.591013	1313.24	0.01	1.61642
2022-11-10 09:44:46.504048	1312	0.21	4.80677
2022-11-10 09:45:50.542204	1313	0.01	4.79459
2022-11-10 09:46:54.704811	1310.59	0.29	4.58796
2022-11-10 09:47:58.708392	1308.21	0.01	2.79487
2022-11-10 09:49:02.740324	1308.34	0.3	3.71187
2022-11-10 09:50:06.658321	1306.19	0.01	3.31857
2022-11-10 09:51:10.695317	1312.26	0.01	2.48808
2022-11-10 09:52:14.945929	1311.98	0.01	1.89791
2022-11-10 09:53:19.174931	1312.79	0.02	3.68883
2022-11-10 09:54:23.243970	1312.2	0.01	3.34501
2022-11-10 09:55:27.562914	1306.54	0.37	4.16125
2022-11-10 09:56:32.775296	1309.14	0.01	5.11464
2022-11-10 09:57:39.983660	1309.53	0.29	5.1496
2022-11-10 09:58:45.658707	1319.33	0.01	5.45091
2022-11-10 09:59:52.704866	1320.11	0.01	5.40491
2022-11-10 10:00:56.884026	1316.35	0.01	6.61404
2022-11-10 10:02:01.477157	1314.55	0.06	5.22934
2022-11-10 10:03:05.487149	1307.12	2.23	4.47223
2022-11-10 10:04:09.532437	1310.51	0.21	7.61592
2022-11-10 10:05:13.631048	1318.01	0.01	7.48987
2022-11-10 10:06:20.671989	1321.19	0.01	3.16882
2022-11-10 10:07:24.726174	1324.25	0.01	2.86603
2022-11-10 10:08:29.205327	1323.79	0.01	5.74978
2022-11-10 10:09:33.281240	1326.78	0.29	5.53528
2022-11-10 10:10:37.454569	1328.24	0.01	3.36685
2022-11-10 10:11:43.062217	1325.88	0.01	2.63651
2022-11-10 10:12:50.688218	1323.59	0.32	3.35739
2022-11-10 10:13:55.698116	1324.55	0.01	1.89696
2022-11-10 10:14:59.897255	1327.93	0.37	1.53633
2022-11-10 10:16:04.393786	1330.41	0.01	2.38047
2022-11-10 10:17:09.999747	1340.06	0.01	5.45865
2022-11-10 10:18:14.037100	1342.72	0.58	3.61315
2022-11-10 10:19:18.219276	1336.24	1.76	4.81
2022-11-10 10:20:22.370608	1330.23	0.63	7.23244
2022-11-10 10:21:26.421877	1335.05	0.34	6.74241
2022-11-10 10:22:34.328141	1335.97	0.13	0.441769
2022-11-10 10:23:39.949650	1333.08	0.16	4.84688
2022-11-10 10:24:45.063962	1336.44	1.02	5.4231
2022-11-10 10:25:48.134186	1334.24	0.01	1.65795
2022-11-10 10:26:52.766609	1335.65	0.32	1.05868
2022-11-10 10:28:00.746138	1342.43	1.66	1.44218
2022-11-10 10:29:07.301749	1346.6	0.49	4.30096
2022-11-10 10:30:12.172124	1344.79	0.18	2.79086
2022-11-10 10:31:16.734750	1337.54	0.2	2.86431
2022-11-10 10:32:21.547108	1338.66	1.06	2.29624

modelado_ethereum["ftx"].drop(["Diferencia"], axis = 1)

	Close	Spread	Effective Spread
timeStamp
2022-11-10 09:28:35.644735	1420.1	1.4	NaN
2022-11-10 09:29:46.394854	1418	3.4	NaN
2022-11-10 09:30:50.346266	1422.8	3.4	NaN
2022-11-10 09:31:54.430854	1416.1	1.2	NaN
2022-11-10 09:32:58.546607	1409.2	3.1	NaN
2022-11-10 09:34:02.628608	1409.9	1.8	NaN
2022-11-10 09:35:07.529575	1408.3	1.1	NaN
2022-11-10 09:36:11.639433	1399.9	0.3	NaN
2022-11-10 09:37:15.949923	1392.5	0.1	NaN
2022-11-10 09:38:20.035781	1382.6	1.4	NaN
2022-11-10 09:39:24.174198	1382.3	4.3	4.94125
2022-11-10 09:40:29.660220	1375.6	1.4	4.96407
2022-11-10 09:41:34.011014	1377.4	2.5	3.19844
2022-11-10 09:42:38.528209	1378.2	0.7	3.11705
2022-11-10 09:43:42.591013	1375.6	1.3	4.69361
2022-11-10 09:44:46.504048	1375	0.2	4.96951
2022-11-10 09:45:50.542204	1377.6	1.6	0.734847
2022-11-10 09:46:54.704811	1373.4	0.8	4.79375
2022-11-10 09:47:58.708392	1371.3	0.1	4.52482
2022-11-10 09:49:02.740324	1372.9	1.3	5.86686
2022-11-10 09:50:06.658321	1369.4	1.3	6.07421
2022-11-10 09:51:10.695317	1415.6	1.5	9.67574
2022-11-10 09:52:14.945929	1404.8	1.7	13.6697
2022-11-10 09:53:19.174931	1425.6	3.4	13.9526
2022-11-10 09:54:23.243970	1412	2.4	11.102
2022-11-10 09:55:27.562914	1408.3	0.1	12.5123
2022-11-10 09:56:32.775296	1403.9	1.7	11.0223
2022-11-10 09:57:39.983660	1396	0.2	10.7325
2022-11-10 09:58:45.658707	1412.7	3.9	18.9917
2022-11-10 09:59:52.704866	1431.9	2.7	13.2056
2022-11-10 10:00:56.884026	1436.2	2.2	16.2694
2022-11-10 10:02:01.477157	1444.7	1.3	14.6192
2022-11-10 10:03:05.487149	1436.8	1.7	12.9286
2022-11-10 10:04:09.532437	1420	0.1	22.666
2022-11-10 10:05:13.631048	1444.5	4.8	12.198
2022-11-10 10:06:20.671989	1454.9	0.3	12.4589
2022-11-10 10:07:24.726174	1461.2	0.8	14.6929
2022-11-10 10:08:29.205327	1431.3	6.5	23.8579
2022-11-10 10:09:33.281240	1448.3	2.6	21.8623
2022-11-10 10:10:37.454569	1474	2.2	24.5803
2022-11-10 10:11:43.062217	1490.1	3.2	25.8767
2022-11-10 10:12:50.688218	1458.4	5.6	23.6057
2022-11-10 10:13:55.698116	1464	5.1	13.428
2022-11-10 10:14:59.897255	1493.6	4.1	26.0143
2022-11-10 10:16:04.393786	1514	5.7	24.3263
2022-11-10 10:17:09.999747	1515.6	1.6	22.5071
2022-11-10 10:18:14.037100	1527.8	5.9	23.1932
2022-11-10 10:19:18.219276	1519.4	0.1	16.0357
2022-11-10 10:20:22.370608	1527.9	3.7	7.55659
2022-11-10 10:21:26.421877	1544.9	2	7.5379
2022-11-10 10:22:34.328141	1539.8	0.4	5.74804
2022-11-10 10:23:39.949650	1499	19.1	21.0994
2022-11-10 10:24:45.063962	1479.4	1.3	26.4636
2022-11-10 10:25:48.134186	1475	2.3	18.1938
2022-11-10 10:26:52.766609	1449.4	3.8	14.9563
2022-11-10 10:28:00.746138	1443.5	1.5	17.5937
2022-11-10 10:29:07.301749	1435.5	2	17.811
2022-11-10 10:30:12.172124	1428.6	4.5	19.6792
2022-11-10 10:31:16.734750	1401.1	9.7	24.5832
2022-11-10 10:32:21.547108	1406	10.1	18.4838

modelado_ethereum["cex"].drop(["Diferencia"], axis = 1)

	Close	Spread	Effective Spread
timeStamp
2022-11-10 09:28:35.644735	1223.99	0.98	NaN
2022-11-10 09:29:46.394854	1225.04	1.15	NaN
2022-11-10 09:30:50.346266	1225.02	1.22	NaN
2022-11-10 09:31:54.430854	1214.05	0.27	NaN
2022-11-10 09:32:58.546607	1206.36	2.62	NaN
2022-11-10 09:34:02.628608	1196.55	0.11	NaN
2022-11-10 09:35:07.529575	1176.03	0.28	NaN
2022-11-10 09:36:11.639433	1173.1	0.27	NaN
2022-11-10 09:37:15.949923	1182.93	1.7	NaN
2022-11-10 09:38:20.035781	1186.52	0.27	NaN
2022-11-10 09:39:24.174198	1178.89	1.86	13.379
2022-11-10 09:40:29.660220	1170.9	0.07	7.28953
2022-11-10 09:41:34.011014	1169.38	1.01	8.31793
2022-11-10 09:42:38.528209	1155.23	0.36	9.79018
2022-11-10 09:43:42.591013	1169.14	0.82	9.22699
2022-11-10 09:44:46.504048	1162.61	0.06	8.46013
2022-11-10 09:45:50.542204	1166.07	0.63	8.21469
2022-11-10 09:46:54.704811	1169.99	0.08	8.51373
2022-11-10 09:47:58.708392	1177.09	0.6	9.31646
2022-11-10 09:49:02.740324	1173.86	0.26	10.6192
2022-11-10 09:50:06.658321	1175.65	0.7	12.1749
2022-11-10 09:51:10.695317	1174	1.23	12.6921
2022-11-10 09:52:14.945929	1170.89	0.27	13.2323
2022-11-10 09:53:19.174931	1169.4	0.26	7.17471
2022-11-10 09:54:23.243970	1165.34	0.26	4.36019
2022-11-10 09:55:27.562914	1163.13	0.27	3.65115
2022-11-10 09:56:32.775296	1156.03	0.27	5.15782
2022-11-10 09:57:39.983660	1163.49	1.11	3.40216
2022-11-10 09:58:45.658707	1163.43	0.36	3.37937
2022-11-10 09:59:52.704866	1162.52	0.28	4.05744
2022-11-10 10:00:56.884026	1174.05	0.28	2.41645
2022-11-10 10:02:01.477157	1183.29	1.6	3.5397
2022-11-10 10:03:05.487149	1183.71	1.91	7.36495
2022-11-10 10:04:09.532437	1178.13	0.27	8.14683
2022-11-10 10:05:13.631048	1177.31	1.2	8.86169
2022-11-10 10:06:20.671989	1180.75	0.86	6.02988
2022-11-10 10:07:24.726174	1178.9	0.86	7.12163
2022-11-10 10:08:29.205327	1183.49	0.81	5.14467
2022-11-10 10:09:33.281240	1180.3	0.89	6.05505
2022-11-10 10:10:37.454569	1177.85	0.72	6.5352
2022-11-10 10:11:43.062217	1181.04	0.24	3.90231
2022-11-10 10:12:50.688218	1181.4	0.58	5.85146
2022-11-10 10:13:55.698116	1177.79	0.26	3.64638
2022-11-10 10:14:59.897255	1179.85	0.27	3.26028
2022-11-10 10:16:04.393786	1167.14	1.17	4.41163
2022-11-10 10:17:09.999747	1167.85	1.79	3.21902
2022-11-10 10:18:14.037100	1170.32	0.12	4.08562
2022-11-10 10:19:18.219276	1169.38	1.54	4.63985
2022-11-10 10:20:22.370608	1166.2	0.55	5.46879
2022-11-10 10:21:26.421877	1166.14	0.28	1.17588
2022-11-10 10:22:34.328141	1159.27	1.64	5.38677
2022-11-10 10:23:39.949650	1160.19	1.27	5.2391
2022-11-10 10:24:45.063962	1160.19	1.27	4.88376
2022-11-10 10:25:48.134186	1166.58	0.28	4.59625
2022-11-10 10:26:52.766609	1158.44	0.27	4.89664
2022-11-10 10:28:00.746138	1164.63	0.75	7.13351
2022-11-10 10:29:07.301749	1160.51	0.67	8.09316
2022-11-10 10:30:12.172124	1161.9	1.19	7.93754
2022-11-10 10:31:16.734750	1167.95	0.02	2.69665
2022-11-10 10:32:21.547108	1168.59	0.28	1.66289

5.2 Solana

modelado_solana = main.microestructura_modelado(avance_solana)
modelado_solana["kraken"].drop(["Diferencia"], axis = 1)

	Close	Spread	Effective Spread
timeStamp
2022-11-10 10:48:16.803532	19	0.01	NaN
2022-11-10 10:49:32.720856	19.01	0.01	NaN
2022-11-10 10:50:38.295411	19.19	0.11	NaN
2022-11-10 10:51:43.193787	18.94	0.09	NaN
2022-11-10 10:52:47.350236	18.92	0.03	NaN
2022-11-10 10:53:52.172307	18.92	0.08	NaN
2022-11-10 10:54:56.144525	18.96	0.07	NaN
2022-11-10 10:56:00.312885	18.9	0.01	NaN
2022-11-10 10:57:04.313167	18.9	0.03	NaN
2022-11-10 10:58:11.625959	18.9	0.01	NaN
2022-11-10 10:59:16.604536	18.9	0.01	0.103537
2022-11-10 11:00:20.586572	18.79	0.01	0.13
2022-11-10 11:01:24.650615	18.26	0.13	0.0985901
2022-11-10 11:02:28.628026	17.81	0.06	0.136675
2022-11-10 11:03:32.878283	17.79	0.01	0.151526
2022-11-10 11:04:37.084207	17.83	0.06	0.152053
2022-11-10 11:05:41.114985	17.59	0.01	0.131909
2022-11-10 11:06:47.463621	17.5	0.05	0.15225
2022-11-10 11:07:51.562846	17.52	0.05	0.043359
2022-11-10 11:08:56.745463	17.6	0.03	0.146014
2022-11-10 11:10:01.841086	17.42	0.01	0.177313
2022-11-10 11:11:07.080485	17.47	0.02	0.104403
2022-11-10 11:12:11.516249	17.61	0.04	0.16025
2022-11-10 11:13:15.804330	17.57	0.03	0.176918
2022-11-10 11:14:20.735077	17.56	0.03	0.186869
2022-11-10 11:15:24.885367	17.54	0.01	0.11296
2022-11-10 11:16:29.098419	17.52	0.04	0.10198
2022-11-10 11:17:33.580246	17.52	0.01	0.0545894
2022-11-10 11:18:38.000241	17.68	0.04	0.0754983
2022-11-10 11:19:43.518327	17.55	0.02	0.0507937
2022-11-10 11:20:49.218519	17.52	0.05	0.070852
2022-11-10 11:21:53.484904	17.75	0.03	0.106771
2022-11-10 11:22:57.674665	17.72	0.04	0.074162
2022-11-10 11:24:01.748705	17.71	0.05	0.0704273
2022-11-10 11:25:06.307597	17.71	0.07	0.0726636
2022-11-10 11:26:11.483459	17.69	0.01	0.0701427
2022-11-10 11:27:19.801638	17.65	0.01	0.0748331
2022-11-10 11:28:24.340255	17.41	0.05	0.0969536
2022-11-10 11:29:28.770872	17.45	0.08	0.0154919
2022-11-10 11:30:34.580912	17.51	0.03	0.0678233
2022-11-10 11:31:39.706037	17.38	0.01	0.103634
2022-11-10 11:32:45.398478	17.26	0.02	0.08
2022-11-10 11:33:51.633704	17.02	0.02	0.201047
2022-11-10 11:35:01.426216	16.79	0.04	0.146561
2022-11-10 11:36:10.719244	16.84	0.03	0.178885
2022-11-10 11:37:18.732415	16.75	0.01	0.169823
2022-11-10 11:38:24.126225	16.64	0.1	0.167153
2022-11-10 11:39:29.063151	16.4	0.06	0.167153
2022-11-10 11:40:33.824078	16.62	0.04	0.111624
2022-11-10 11:41:38.437848	16.63	0.04	0.0652687
2022-11-10 11:42:44.468366	16.61	0.04	0.0697137
2022-11-10 11:43:52.514910	16.6	0.01	0.0737564
2022-11-10 11:44:58.577832	16.38	0.07	0.055857
2022-11-10 11:46:05.057611	16.45	0.01	0.256554
2022-11-10 11:47:11.353268	16.54	0.04	0.26119
2022-11-10 11:48:19.189128	16.53	0.08	0.261075
2022-11-10 11:49:26.921931	16.5	0.03	0.262298
2022-11-10 11:50:31.876262	16.67	0.01	0.139427
2022-11-10 11:51:36.672924	16.73	0.03	0.149265
2022-11-10 11:52:42.531208	16.64	0.04	0.197484

modelado_solana["ftx"].drop(["Diferencia"], axis = 1)

	Close	Spread	Effective Spread
timeStamp
2022-11-10 10:48:16.803532	19.75	0.2375	NaN
2022-11-10 10:49:32.720856	19.715	0.2125	NaN
2022-11-10 10:50:38.295411	19.59	0.0275	NaN
2022-11-10 10:51:43.193787	19.8	0.0875	NaN
2022-11-10 10:52:47.350236	19.3725	0.14	NaN
2022-11-10 10:53:52.172307	18.8	0.1075	NaN
2022-11-10 10:54:56.144525	18.65	0.09	NaN
2022-11-10 10:56:00.312885	18.48	0.105	NaN
2022-11-10 10:57:04.313167	18.545	0.095	NaN
2022-11-10 10:58:11.625959	18.43	0.1475	NaN
2022-11-10 10:59:16.604536	19.185	0.0125	0.519399
2022-11-10 11:00:20.586572	19.395	0.005	0.470096
2022-11-10 11:01:24.650615	18.985	0.1225	0.468097
2022-11-10 11:02:28.628026	18.8625	0.2025	0.522633
2022-11-10 11:03:32.878283	19	0.0025	0.557106
2022-11-10 11:04:37.084207	18.755	0.0375	0.370729
2022-11-10 11:05:41.114985	18.6775	0.0475	0.22004
2022-11-10 11:06:47.463621	18.68	0.0025	0.441865
2022-11-10 11:07:51.562846	18.6775	0.0025	0.453909
2022-11-10 11:08:56.745463	18.68	0.0525	0.40638
2022-11-10 11:10:01.841086	18.75	0.105	0.185014
2022-11-10 11:11:07.080485	18.71	0.0325	0.098799
2022-11-10 11:12:11.516249	18.9425	0.2425	0.0565133
2022-11-10 11:13:15.804330	19.5	0.0025	0.12615
2022-11-10 11:14:20.735077	19.5025	0.1025	0.19438
2022-11-10 11:15:24.885367	18.9825	0.0375	0.184048
2022-11-10 11:16:29.098419	18.8925	0.0375	0.186527
2022-11-10 11:17:33.580246	18.6375	0.0775	0.278321
2022-11-10 11:18:38.000241	18.4625	0.0575	0.13775
2022-11-10 11:19:43.518327	18.405	0.0825	0.0962029
2022-11-10 11:20:49.218519	18.435	0.1075	0.37886
2022-11-10 11:21:53.484904	18.3025	0.03	0.373006
2022-11-10 11:22:57.674665	18.305	0.005	0.349716
2022-11-10 11:24:01.748705	18.3	0.005	0.193132
2022-11-10 11:25:06.307597	18.51	0.13	0.0868044
2022-11-10 11:26:11.483459	18.4175	0.0425	0.0678509
2022-11-10 11:27:19.801638	18.33	0.0025	0.0150416
2022-11-10 11:28:24.340255	18.5	0.025	0.104935
2022-11-10 11:29:28.770872	18.58	0.065	0.0766078
2022-11-10 11:30:34.580912	18.5725	0.0625	0.0771767
2022-11-10 11:31:39.706037	18.5775	0.0175	0.100704
2022-11-10 11:32:45.398478	18.56	0.13	0.0417882
2022-11-10 11:33:51.633704	18.8125	0.0675	0.172717
2022-11-10 11:35:01.426216	18.8975	0.1125	0.17731
2022-11-10 11:36:10.719244	18.9875	0.0075	0.21197
2022-11-10 11:37:18.732415	19.0325	0.0875	0.190384
2022-11-10 11:38:24.126225	18.975	0.0025	0.17661
2022-11-10 11:39:29.063151	18.975	0.0025	0.052915
2022-11-10 11:40:33.824078	18.975	0.0025	0.0660681
2022-11-10 11:41:38.437848	18.8	0.08	0.0323071
2022-11-10 11:42:44.468366	18.7525	0.07	0.0927294
2022-11-10 11:43:52.514910	18.815	0.065	0.0905608
2022-11-10 11:44:58.577832	18.775	0.045	0.122398
2022-11-10 11:46:05.057611	18.755	0.0425	0.134429
2022-11-10 11:47:11.353268	18.6025	0.0825	0.116404
2022-11-10 11:48:19.189128	18.89	0.09	0.13091
2022-11-10 11:49:26.921931	18.6525	0.0025	0.0837407
2022-11-10 11:50:31.876262	18.65	0.005	0.0819298
2022-11-10 11:51:36.672924	18.65	0.0075	0.079577
2022-11-10 11:52:42.531208	18.64	0.0825	0.159354

modelado_solana["cex"].drop(["Diferencia"], axis = 1)

	Close	Spread	Effective Spread
timeStamp
2022-11-10 10:48:16.803532	16.8395	0.0001	NaN
2022-11-10 10:49:32.720856	16.7964	0.0281	NaN
2022-11-10 10:50:38.295411	16.7759	0.0281	NaN
2022-11-10 10:51:43.193787	16.9782	0.0281	NaN
2022-11-10 10:52:47.350236	16.9782	0.0281	NaN
2022-11-10 10:53:52.172307	17.0427	0.0282	NaN
2022-11-10 10:54:56.144525	17.0427	0.0283	NaN
2022-11-10 10:56:00.312885	16.7004	0.0281	NaN
2022-11-10 10:57:04.313167	16.6592	0.0281	NaN
2022-11-10 10:58:11.625959	16.6592	0.0281	NaN
2022-11-10 10:59:16.604536	16.527	0.0279	0.105421
2022-11-10 11:00:20.586572	16.527	0.0732	0.124735
2022-11-10 11:01:24.650615	16.6084	0.0274	0.214742
2022-11-10 11:02:28.628026	16.6526	0.0273	0.196551
2022-11-10 11:03:32.878283	16.6526	0.0273	0.196551
2022-11-10 11:04:37.084207	16.859	0.0274	0.150758
2022-11-10 11:05:41.114985	16.7872	0.0274	0.173589
2022-11-10 11:06:47.463621	16.6518	0.0224	0.198318
2022-11-10 11:07:51.562846	16.6518	0.0272	0.195726
2022-11-10 11:08:56.745463	16.6511	0.0271	0.195728
2022-11-10 11:10:01.841086	16.6511	0.0249	0.0527541
2022-11-10 11:11:07.080485	16.6767	0.0271	0.0843162
2022-11-10 11:12:11.516249	16.7998	0.0271	0.140679
2022-11-10 11:13:15.804330	16.7998	0.0271	0.135949
2022-11-10 11:14:20.735077	16.9673	0.027	0.136118
2022-11-10 11:15:24.885367	16.8196	0.027	0.107781
2022-11-10 11:16:29.098419	16.858	0.0269	0.108606
2022-11-10 11:17:33.580246	16.9012	0.0269	0.0564116
2022-11-10 11:18:38.000241	16.8789	0.0269	0.0619867
2022-11-10 11:19:43.518327	16.6845	0.027	0.0915247
2022-11-10 11:20:49.218519	16.82	0.0269	0.215146
2022-11-10 11:21:53.484904	16.6017	0.027	0.215283
2022-11-10 11:22:57.674665	16.3434	0.0489	0.246586
2022-11-10 11:24:01.748705	16.2399	0.0116	0.244335
2022-11-10 11:25:06.307597	16.2399	0.0116	0.249786
2022-11-10 11:26:11.483459	16.0919	0.0873	0.192948
2022-11-10 11:27:19.801638	16.0991	0.019	0.237149
2022-11-10 11:28:24.340255	16.202	0.1757	0.248337
2022-11-10 11:29:28.770872	16.455	0.0268	0.216565
2022-11-10 11:30:34.580912	16.455	0.0267	0.235082
2022-11-10 11:31:39.706037	16.455	0.0269	0.0382323
2022-11-10 11:32:45.398478	16.42	0.0268	0.144082
2022-11-10 11:33:51.633704	16.275	0.0717	0.198226
2022-11-10 11:35:01.426216	16.4037	0.0259	0.139984
2022-11-10 11:36:10.719244	16.4037	0.0259	0.139984
2022-11-10 11:37:18.732415	16.244	0.0192	0.180863
2022-11-10 11:38:24.126225	16	0.0256	0.230513
2022-11-10 11:39:29.063151	16.0459	0.0179	0.194398
2022-11-10 11:40:33.824078	16.0395	0.0255	0.0517288
2022-11-10 11:41:38.437848	16.0395	0.0121	0.0517288
2022-11-10 11:42:44.468366	16	0.0189	0.0541094
2022-11-10 11:43:52.514910	16.0001	0.0256	0.0344533
2022-11-10 11:44:58.577832	15.9721	0.0251	0.0281665
2022-11-10 11:46:05.057611	15.9673	0.0252	0.0151584
2022-11-10 11:47:11.353268	15.9	0.0252	0.0716374
2022-11-10 11:48:19.189128	15.7469	0.0252	0.0870788
2022-11-10 11:49:26.921931	15.7469	0.0253	0.0692678
2022-11-10 11:50:31.876262	15.68	0.2183	0.0603322
2022-11-10 11:51:36.672924	15.6795	0.0257	0.0613777
2022-11-10 11:52:42.531208	15.6795	0.0258	0.0420844

5.3 Bitcoin

modelado_bitcoin = main.microestructura_modelado(avance_bitcoin)
modelado_bitcoin["kraken"].drop(["Diferencia"], axis = 1)

	Close	Spread	Effective Spread
timeStamp
2022-11-10 11:56:15.503641	17134.4	0.1	NaN
2022-11-10 11:57:33.979138	17128.3	9.4	NaN
2022-11-10 11:58:40.049564	17152.5	0.1	NaN
2022-11-10 11:59:44.186095	17186.8	8.5	NaN
2022-11-10 12:00:48.200567	17204.2	7.8	NaN
2022-11-10 12:01:52.346278	17207.9	0.1	NaN
2022-11-10 12:02:58.422499	17277.8	7.1	NaN
2022-11-10 12:04:02.643466	17315.8	0.1	NaN
2022-11-10 12:05:06.711343	17292.6	3.8	NaN
2022-11-10 12:06:11.222029	17325.1	0.1	NaN
2022-11-10 12:07:15.282337	17297.2	7.2	33.9557
2022-11-10 12:08:19.560761	17318.9	4.2	29.5643
2022-11-10 12:09:23.505187	17333.4	13.2	34.0518
2022-11-10 12:10:27.494670	17352.9	12.6	28.3152
2022-11-10 12:11:32.407087	17419.2	9.1	37.3043
2022-11-10 12:12:37.506533	17430	0.1	33.1218
2022-11-10 12:13:44.675987	17419.9	11.1	30.044
2022-11-10 12:14:48.875789	17368	1.2	17.5362
2022-11-10 12:15:54.170317	17361.7	4.9	25.5486
2022-11-10 12:16:58.344652	17367	0.1	7.8801
2022-11-10 12:18:02.351433	17342.4	0.1	36.3015
2022-11-10 12:19:06.385915	17350	0.1	23.3566
2022-11-10 12:20:11.373435	17367.7	0.1	32.1007
2022-11-10 12:21:15.312572	17337.2	9.2	25.9694
2022-11-10 12:22:20.094155	17322.2	2.1	40.2011
2022-11-10 12:23:25.999644	17254.1	8.7	27.4681
2022-11-10 12:24:30.090052	17236.8	3.9	29.0643
2022-11-10 12:25:34.453113	17327.4	2	57.0757
2022-11-10 12:26:38.563283	17272.4	8.4	66.5423
2022-11-10 12:27:42.632501	17287	0.1	65.502
2022-11-10 12:28:46.630550	17287.8	6.6	58.9178
2022-11-10 12:29:51.485946	17194.7	7.2	60.5403
2022-11-10 12:30:55.625611	17201.7	0.7	51.3391
2022-11-10 12:32:01.829409	17226.4	2.4	4.08534
2022-11-10 12:33:05.941445	17246.4	0.3	28.9487
2022-11-10 12:34:09.935074	17242.9	4.8	38.4468
2022-11-10 12:35:14.963376	17259.4	0.1	37.7687
2022-11-10 12:36:19.905115	17290.4	12.2	12.5909
2022-11-10 12:37:23.880310	17266.4	9.7	35.4225
2022-11-10 12:38:27.876420	17260.8	7.2	43.7015
2022-11-10 12:39:31.953284	17265.8	1.8	42.8463
2022-11-10 12:40:36.249694	17284.2	0.8	22.8607
2022-11-10 12:41:41.336615	17311.9	7.1	7.65441
2022-11-10 12:42:45.392040	17344	4.6	18.9315
2022-11-10 12:43:49.375911	17337.2	7.5	13.8726
2022-11-10 12:44:55.391283	17314	0.1	9.65526
2022-11-10 12:46:01.469801	17303.4	0.1	16.73
2022-11-10 12:47:05.593890	17303.4	0.1	31.7303
2022-11-10 12:48:15.439141	17324	2.5	26.4329
2022-11-10 12:49:19.829937	17326.8	5.3	22.138
2022-11-10 12:50:24.236549	17285.9	3.5	40.8282
2022-11-10 12:51:28.454964	17289.4	3.5	40.0969
2022-11-10 12:52:32.958980	17310.2	6.6	39.5672
2022-11-10 12:53:37.828024	17280.4	3.4	10.2206
2022-11-10 12:54:42.517350	17274.6	0.1	13.1561
2022-11-10 12:55:47.011781	17292.6	1	36.9563
2022-11-10 12:56:52.797329	17299.2	0.1	36.2737
2022-11-10 12:57:57.283296	17316.3	0.1	31.5569
2022-11-10 12:59:01.719495	17321.3	0.1	12.8846
2022-11-10 13:00:05.788816	17325.9	3.7	1.57226

modelado_bitcoin["ftx"].drop(["Diferencia"], axis = 1)

	Close	Spread	Effective Spread
timeStamp
2022-11-10 11:56:15.503641	17169	1	NaN
2022-11-10 11:57:33.979138	17089	1	NaN
2022-11-10 11:58:40.049564	17089	1	NaN
2022-11-10 11:59:44.186095	17166	1	NaN
2022-11-10 12:00:48.200567	17187	1	NaN
2022-11-10 12:01:52.346278	17183	2	NaN
2022-11-10 12:02:58.422499	17315	35	NaN
2022-11-10 12:04:02.643466	17280	1	NaN
2022-11-10 12:05:06.711343	17260	1	NaN
2022-11-10 12:06:11.222029	17277	1	NaN
2022-11-10 12:07:15.282337	17261	1	109.075
2022-11-10 12:08:19.560761	17310	1	74.6659
2022-11-10 12:09:23.505187	17311	1	64.2635
2022-11-10 12:10:27.494670	17301	1	79.2666
2022-11-10 12:11:32.407087	17380	26	78.6511
2022-11-10 12:12:37.506533	17418	2	70.1342
2022-11-10 12:13:44.675987	17399	1	7.61577
2022-11-10 12:14:48.875789	17394	1	22.7068
2022-11-10 12:15:54.170317	17413	1	36.1856
2022-11-10 12:16:58.344652	17383	1	64.543
2022-11-10 12:18:02.351433	17314	8	53.4079
2022-11-10 12:19:06.385915	17306	1	58.1343
2022-11-10 12:20:11.373435	17336	1	64.94
2022-11-10 12:21:15.312572	17308	1	56.3028
2022-11-10 12:22:20.094155	17250	1	36.4993
2022-11-10 12:23:25.999644	17249	1	8.544
2022-11-10 12:24:30.090052	17217	1	16.5045
2022-11-10 12:25:34.453113	17250	1	39.0564
2022-11-10 12:26:38.563283	17249	1	42.9418
2022-11-10 12:27:42.632501	17250	1	35.8469
2022-11-10 12:28:46.630550	17249	1	34.8855
2022-11-10 12:29:51.485946	17249	1	39.1229
2022-11-10 12:30:55.625611	17249	1	6.79706
2022-11-10 12:32:01.829409	17250	1	6.79706
2022-11-10 12:33:05.941445	17249	1	1
2022-11-10 12:34:09.935074	17249	1	1.41421
2022-11-10 12:35:14.963376	17249	1	1.41421
2022-11-10 12:36:19.905115	17274	1	1.73205
2022-11-10 12:37:23.880310	17249	1	5.07937
2022-11-10 12:38:27.876420	17249	1	5
2022-11-10 12:39:31.953284	17249	1	5
2022-11-10 12:40:36.249694	17260	1	5
2022-11-10 12:41:41.336615	17259	1	5
2022-11-10 12:42:45.392040	17320	1	39.1893
2022-11-10 12:43:49.375911	17301	1	39.37
2022-11-10 12:44:55.391283	17301	6	39.37
2022-11-10 12:46:01.469801	17288	1	41.8879
2022-11-10 12:47:05.593890	17289	1	39.7366
2022-11-10 12:48:15.439141	17288	1	15.7924
2022-11-10 12:49:19.829937	17288	1	8.35464
2022-11-10 12:50:24.236549	17281	1	1.73205
2022-11-10 12:51:28.454964	17287	1	11.5931
2022-11-10 12:52:32.958980	17287	1	11.2694
2022-11-10 12:53:37.828024	17287	1	9.18695
2022-11-10 12:54:42.517350	17282	1	9.67471
2022-11-10 12:55:47.011781	17261	1	3.31662
2022-11-10 12:56:52.797329	17279	1	15.9185
2022-11-10 12:57:57.283296	17279	1	15.8682
2022-11-10 12:59:01.719495	17279	1	15.9185
2022-11-10 13:00:05.788816	17255	1	18.5095

modelado_bitcoin["cex"].drop(["Diferencia"], axis = 1)

	Close	Spread	Effective Spread
timeStamp
2022-11-10 11:56:15.503641	17040.2	18.3	NaN
2022-11-10 11:57:33.979138	16994.9	30.2	NaN
2022-11-10 11:58:40.049564	16944.5	3.6	NaN
2022-11-10 11:59:44.186095	16914.7	1.7	NaN
2022-11-10 12:00:48.200567	16927.4	20.2	NaN
2022-11-10 12:01:52.346278	16980.4	14.6	NaN
2022-11-10 12:02:58.422499	16921.1	14	NaN
2022-11-10 12:04:02.643466	16923.4	3.4	NaN
2022-11-10 12:05:06.711343	16919.9	3.6	NaN
2022-11-10 12:06:11.222029	16899.4	15.1	NaN
2022-11-10 12:07:15.282337	16853.8	3.6	38.9438
2022-11-10 12:08:19.560761	16811.2	9.2	42.2459
2022-11-10 12:09:23.505187	16800	3.5	24.3552
2022-11-10 12:10:27.494670	16815.4	18.1	11.0431
2022-11-10 12:11:32.407087	16749	14.6	23.4239
2022-11-10 12:12:37.506533	16815.5	20.7	13.944
2022-11-10 12:13:44.675987	16792.9	3.6	34.5012
2022-11-10 12:14:48.875789	16778.4	15.3	33.6605
2022-11-10 12:15:54.170317	16782.1	3.5	34.4243
2022-11-10 12:16:58.344652	16737	3.4	27.9896
2022-11-10 12:18:02.351433	16785.4	16.9	84.6452
2022-11-10 12:19:06.385915	16820.3	9.1	75.7903
2022-11-10 12:20:11.373435	16848.6	7.6	73.3103
2022-11-10 12:21:15.312572	16779.5	8.8	68.8561
2022-11-10 12:22:20.094155	16717.6	13.2	67.1489
2022-11-10 12:23:25.999644	16740.2	6.5	46.4614
2022-11-10 12:24:30.090052	16838.4	0.2	80.9166
2022-11-10 12:25:34.453113	16818.2	4.2	83.1396
2022-11-10 12:26:38.563283	16811.5	0.1	84.9745
2022-11-10 12:27:42.632501	16776.6	3.6	82.4716
2022-11-10 12:28:46.630550	16710.7	10.8	61.0146
2022-11-10 12:29:51.485946	16730.7	3.3	54.0014
2022-11-10 12:30:55.625611	16767.6	5.9	45.2207
2022-11-10 12:32:01.829409	16764.1	3.7	47.0787
2022-11-10 12:33:05.941445	16708.5	3.5	49.9675
2022-11-10 12:34:09.935074	16720.3	11.2	49.6138
2022-11-10 12:35:14.963376	16636.9	1.7	56.9874
2022-11-10 12:36:19.905115	16599.9	15.2	59.5328
2022-11-10 12:37:23.880310	16594.1	3.6	58.8369
2022-11-10 12:38:27.876420	16538.4	15.1	54.8677
2022-11-10 12:39:31.953284	16555.9	3.6	24.6184
2022-11-10 12:40:36.249694	16588	2.7	40.4485
2022-11-10 12:41:41.336615	16582	15.5	16.3772
2022-11-10 12:42:45.392040	16531.7	3.6	31.3302
2022-11-10 12:43:49.375911	16508.3	15	40.9576
2022-11-10 12:44:55.391283	16489.5	3.3	58.0711
2022-11-10 12:46:01.469801	16549.5	3.6	55.1143
2022-11-10 12:47:05.593890	16623.5	3.4	53.8209
2022-11-10 12:48:15.439141	16707.8	3.4	20.3425
2022-11-10 12:49:19.829937	16699	3.5	41.6336
2022-11-10 12:50:24.236549	16632.3	6.7	24.4535
2022-11-10 12:51:28.454964	16643.1	3.4	43.0777
2022-11-10 12:52:32.958980	16687.2	16.5	24.5414
2022-11-10 12:53:37.828024	16642.5	3.6	62.4735
2022-11-10 12:54:42.517350	16585.3	26.4	78.9749
2022-11-10 12:55:47.011781	16577.1	17.8	52.6308
2022-11-10 12:56:52.797329	16603.4	14.3	39.6575
2022-11-10 12:57:57.283296	16590.4	8.2	42.1181
2022-11-10 12:59:01.719495	16617.8	15.1	28.0414
2022-11-10 13:00:05.788816	16600.8	3.4	18.9148

6. Conclusiones

---

1. CCXT: Libro de Órdenes (Descarga de Datos). En este apartado se hizo uso de la librería CCXT para extraer el libro de órdenes y el OHLC de criptomonedas de diversos brókers.
2. Microestructura del Mercado: Visuales. En este apartado se construyeron series temporales con las características del libro de órdenes (niveles, volúmenes, VWAP, etc.) y se graficaron con Plotly.
3. Microestructura del Mercado: Modelado. En este apartado se estimó el Effective Spread del modelo de Roll.

7. Referencias

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• Microestructura de mercados financieros: ¿cuánta información contiene el precio de un activo?09. (s/f). Materiabiz.com. Recuperado el 10 de noviembre de 2022, de https://materiabiz.com/microestructura-de-mercados-financieros-cuanta-informacion-contiene-el-precio-de-un-activo09/